[Front cover]
[State Street Research logo]
State Street Research
High Income Fund
Semiannual Report
[graphic of fisherman by stream]
September 30, 1995
What's Inside
Investment Update:
About the Fund, economy and markets
Fund Information:
Facts and figures
Plus, Complete Portfolio Holdings and Financial Statements
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
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INVESTMENT UPDATE
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INVESTMENT ENVIRONMENT
The Economy
(bullet) Economic growth has been moderate, and inflation remains low.
(bullet) Strong consumer confidence helped boost spending, resulting in higher
consumer debt levels. Job growth continues to fluctuate, and
unemployment has stayed relatively low.
(bullet) The Federal Reserve cut interest rates by one-quarter point on July
6, 1995. As of September 30, 1995, there had been no further action
taken by the Fed.
The Markets
(bullet) Stock and bond markets showed strong performance, albeit with
occasional declines, from April 1 to September 30, 1995.
(bullet) 1995 continues to be the best year for stocks since 1991. The S&P 500
was up +18.23% for the six-month period ended September 30, 1995.(1)
(bullet) Bonds also performed well. The Lehman Brothers Aggregate Bond Index
gained +8.18% from April 1 to September 30, 1995.(1)
THE FUND
Over the past six months
(bullet) Class A shares of the Fund provided a total return of +6.46% (not
including sales charge) for the six months ended September 30,
1995.(2) The average total return for 128 funds in Lipper Analytical
Services' High Current Yield category was +8.62% for the same time
period (does not reflect sales charge).
(bullet) Over the past six months, the Fund's current yield was in the top 10%
of its Lipper category.
(bullet) The lower-grade bonds that the Fund invests in have not performed
quite as well as higher-grade bonds. This hindered the Fund's
performance somewhat over the past six months.
Current strategy
(bullet) We continue to manage the Fund for high current yield as well as
total return.
(bullet) We use a "bottom-up" approach in selecting securities for the Fund's
portfolio, choosing companies on an individual basis, not by sector.
(bullet) We continue to be sensitive to the potential weakness of the economy,
so we look for securities that may be more resistant to recession.
(1) The Standard & Poor's 500 Composite Index (S&P 500) includes 500 widely
traded common stocks and is a commonly used measure of U.S. stock market
performance. The Lehman Brothers Aggregate Bond Index is a commonly used
measure of bond market performance. The indices are unmanaged and do not take
sales charges into consideration. Direct investment in the indices is not
possible; results are for illustrative purposes only.
(2) +5.90% for Class B shares; +6.62% for Class C shares; +6.08% for Class D
shares.
(3) All returns represent past performance, which is no guarantee of future
results. The investment return and principal value of an investment made in
the Fund will fluctuate, and shares, when redeemed, may be worth more or less
than their original cost. All returns assume reinvestment of capital gain
distributions and income dividends. In January 1994, the Fund changed its
investment objective to include capital appreciation as a secondary
consideration in selecting portfolio securities, to eliminate requirements
that a percentage of the Fund be invested in certain rating categories, and
to allow greater use of convertible and preferred securities. Previously, the
Fund was required to invest at least 65% in securities rated BBB, BB, or B.
(4) Performance for a class includes periods prior to the adoption of class
designations in 1993. Performance reflects up to a maximum 4.5% front-end or
5% contingent deferred sales charge. "C" shares, offered without a sales
charge, are available only to certain employee benefit plans and
institutions. Performance for "B" and "D" shares prior to class designations
in 1993 reflects annual 12b-1 fees of .25% and thereafter reflects annual
12b-1 fees of 1%, which will reduce subsequent performance.
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FUND INFORMATION (all data are for periods ended September 30, 1995)
- ------------------------------------------------------------------------------
SEC Average Annual Compound Rates
of Return
(at maximum applicable sales charge)3,4
============================================
Life of Fund
(since 5
8/25/86) years 1 year
- --------------------------------------------
Class A +9.40% +14.77% +4.05%
- --------------------------------------------
Class B +9.69% +15.11% +3.14%
- --------------------------------------------
Class C +9.97% +15.87% +9.08%
- --------------------------------------------
Class D +9.71% +15.37% +7.01%
============================================
Cumulative Total Returns
(do not reflect sales charge)3
============================================
Life of Fund
(since 5
8/25/86) years 1 year
- --------------------------------------------
Class A +137.48% +108.69% +8.95%
- --------------------------------------------
Class B +132.40% +104.23% +8.00%
- --------------------------------------------
Class C +137.84% +109.01% +9.08%
- --------------------------------------------
Class D +132.70% +104.50% +7.99%
============================================
SEC Yield
============================================
Class A 9.61%
- --------------------------------------------
Class B 9.36%
- --------------------------------------------
Class C 10.39%
- --------------------------------------------
Class D 9.33%
============================================
SEC yield is calculated according to Securities and Exchange Commission
requirements and is based on the net investment income produced for the 30
days ended September 30, 1995. Yield does not necessarily reflect the income
stream an investor can expect. A high yield is in part indicative of the
lower prices of the high-risk bonds in the Fund's portfolio. Such lower
prices reflect the increased risk of the financial restructuring or default
of the issuers of such bonds.
(Pie chart)
Asset Allocation
(by percentage of net assets)
Bonds*
CCC and Below 14%
Preferred Stocks 11%
Common Stocks 5%
Cash 5%
BB 4%
B 61%
Quality ratings based on those provided by Standard & Poor's Corp. and/or
equivalent ratings by Moody's Investors Service, Inc.
*21% of the above bonds were unrated and included among relevant rating
categories as determined by the Fund's manager.
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
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INVESTMENT PORTFOLIO
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September 30, 1995 (Unaudited)
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Principal Maturity Value
Amount Date (Note 1)
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BONDS 79.2%
Aerospace 4.2%
Alliant TechSystems, Inc. Sr.
Sub. Notes, 11.75%+ $ 6,250,000 3/01/2003 $ 6,781,250
K&F Industries, Inc. Sr. Sub.
Deb., 13.75% 6,700,000 8/01/2001 6,951,250
K&F Industries, Inc. Sr. Sec.
Notes, 11.875% 7,354,000 12/01/2003 7,666,545
Talley Manufacturing and
Technology, Inc. Sr. Notes,
10.75% 5,250,000 10/15/2003 5,302,500
Talley Industries, Inc. Disc.
Deb., 0.00% to 10/14/98, 12.25%
from 10/15/98 to maturity 5,390,000 10/15/2005 3,880,800
Wyman-Gordon Co. Sr. Notes,
10.75% 3,325,000 3/15/2003 3,391,500
-----------
33,973,845
-----------
Airlines 1.7%
CHC Helicopter Corp. Sr. Sub.
Note, 11.50% 8,850,000 7/15/2002 7,743,750
GPA Delaware, Inc. Deb., 8.75% 7,000,000 12/15/1998 6,230,000
-----------
13,973,750
-----------
Automotive 0.6%
Harvard Industries, Inc. Sr.
Notes, 12.00% 2,250,000 7/15/2004 2,345,625
Harvard Industries, Inc. Sr.
Notes, 11.125%+ 750,000 8/01/2005 757,500
Penda Industries, Inc. Sr. Notes,
10.75% 1,750,000 3/01/2004 1,487,500
Venture Holdings Trust Sr. Sub.
Notes, 9.75% 250,000 4/01/2004 213,750
-----------
4,804,375
-----------
Business Service 0.2%
La Petite Holdings Sr. Sec.
Notes, 9.625% 1,500,000 8/01/2001 1,383,750
-----------
Cable 3.4%
American Telecasting, Inc. Sr.
Sub. Units, 0.00% to 6/14/99,
12.50% from 6/15/99 to maturity 6,885,056 6/15/2004 4,062,182
CAI Wireless Systems, Inc. Sr.
Disc. Note, 12.25% 250,000 9/15/2002 259,375
Heartland Wireless
Communications, Inc. Units,
13.00%+ 6,250,000 4/15/2003 6,687,500
Insight Communications Co.,
L.P. Sr. Sub. Disc. Note, 8.25%
to 2/29/96, 11.25% from 3/1/96
to maturity 1,525,000 3/01/2000 1,540,250
Marcus Cable Operating Co. L.P.
Sr. Deb., 11.875% 3,500,000 10/01/2005 3,535,000
Marcus Cable Operating Co. L.P.
Sr. Disc. Note, 0.00% to
7/31/99, 13.50% from 8/1/99 to
maturity 9,000,000 8/01/2004 6,120,000
People's Choice TV Corp.
Sr. Disc. Unit, 0.00% to
5/31/2000, 13.125% from
6/1/2000 to maturity 1,000,000 6/01/2004 522,500
Scott Cable Communications, Inc.
Sub. Deb., 12.25% 2,275,000 4/15/2001 1,501,500
Telewest Communications PLC Sr.
Deb., 9.625% 3,000,000 10/01/2006 3,007,500
-----------
27,235,807
-----------
Capital Goods/Equipment 2.9%
Axia Holdings Corp. Sr. Sub.
Notes, 11.00% 750,000 3/15/2001 705,000
Chatwins Group, Inc. Sr. Exch.
Note, 13.00% 7,000,000 5/01/2003 5,915,000
Consolidated Hydro Inc. Sr. Disc.
Note, 0.00% to 1/14/99, 12.00%
from 1/15/99 to maturity 2,525,000 7/15/2003 1,455,562
Day International Group, Inc. Sr.
Sub. Notes, 11.125%+ 1,250,000 6/01/2005 1,268,750
Genmar Holdings, Inc. Sr. Sub.
Notes, 13.50% 1,500,000 7/15/2001 1,462,500
ICF Kaiser International, Inc.
Sr. Sub. Notes, 12.00% 4,750,000 12/31/2003 4,405,625
ICF Kaiser International, Inc.
Units, 12.00% 1,000,000 12/31/2003 947,500
Interlake Corp. Sr. Sub. Deb.,
12.125% 1,000,000 3/01/2002 980,000
Kenetech Corp. Sr. Sec. Notes,
12.75% 1,858,000 12/15/2002 1,644,330
Specialty Equipment Companies,
Inc. Sr. Sub. Note, 11.375% 1,250,000 12/01/2003 1,303,125
Terex Corp. Sr. Sec. Note,
13.75%+ 2,000,000 5/15/2002 1,630,000
Waters Corp. Sr. Sub. Note,
12.75% 1,500,000 9/30/2004 1,620,000
-----------
23,337,392
-----------
The accompanying notes are an integral part of the financial statements.
2
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
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INVESTMENT PORTFOLIO (cont'd)
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Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------
Chemical 1.6%
Acetex Corp. Sr. Sec. Note, 9.75% $ 2,250,000 10/01/2003 $ 2,278,125
Pioneer Americas Acquisition
Corp. Sr. Note, 13.375%+ 8,250,000 4/01/2005 8,373,750
UCC Investors Inc. Sub. Disc.
Notes, 0.00% to 4/30/98, 12.00%
from 5/1/98 to maturity 2,500,000 5/01/2005 1,862,500
-----------
12,514,375
-----------
Conglomerate 0.1%
Dyncorp, Inc. Jr. Sub. Deb.,
16.00%(diamond) 319,953 6/30/2003 315,154
IMO Industries, Inc. Sr. Sub.
Deb., 12.00% 500,000 11/01/2001 515,000
-----------
830,154
-----------
Consumer Goods 2.9%
Allied Waste Industries, Inc. Sr.
Sub. Notes, 12.00% 1,250,000 2/01/2004 1,318,750
Carrols Corp. Sr. Notes, 11.50% 5,700,000 8/15/2003 5,643,000
Central Rents, Inc. Sr. Notes,
12.875% 5,250,000 12/15/2003 5,250,000
Crain Industries, Inc. Sr. Sub.
Notes, 13.50%+ 1,000,000 8/15/2005 1,035,000
Roadmaster Industries Inc. Sr.
Sub. Notes, 11.75% 2,750,000 7/15/2002 1,787,500
Thermoscan, Inc. Sr. Sub. Notes,
11.50% 5,750,000 8/15/2001 5,922,500
Town & Country Corp. Sr. Sub.
Notes, 13.00%(diamond) 2,560,999 5/31/1998 1,203,670
U.S. Leather, Inc. Sr. Notes,
10.25% 1,000,000 7/31/2003 840,000
-----------
23,000,420
-----------
Cosmetics 0.3%
Chattem, Inc. Sr. Sub. Note,
12.75% 1,747,000 6/15/2004 1,694,590
Renaissance Cosmetics, Inc. Sr.
Notes, 13.75% 1,000,000 8/15/2001 995,000
-----------
2,689,590
-----------
Drug 0.8%
General Medical Corp. Sub. Deb.,
12.125%(diamond) 6,578,748 8/15/2005 6,841,898
-----------
Entertainment 1.1%
Live Entertainment Inc. Sr. Sub.
Notes, 10.00% to 3/22/96,
12.00% from 3/23/96 to maturity 7,936,100 3/23/1999 6,269,519
Plitt Theatres, Inc. Sr. Sub.
Note, 10.875% 500,000 6/15/2004 482,500
Premier Parks, Inc. Sr. Note,
12.00%+ 1,750,000 8/15/2003 1,793,750
-----------
8,545,769
-----------
Financial Service 1.2%
Firstcity Financial Corp. Sr.
Sec. Note, 9.00% 10,000,052 9/30/1997 9,875,051
-----------
Food & Beverage 3.9%
Beatrice Foods, Inc. Sr. Sub.
Note, 12.00% 3,800,000 12/01/2001 2,660,000
Doskocil Companies, Inc. Sr. Sub.
Red. Notes, 9.75% 9,405,000 7/15/2000 9,240,413
Flagstar Corp. Sr. Sub. Notes,
11.25% 1,750,000 11/01/2004 1,351,875
MAFCO Inc. Sr. Sub. Notes,
11.875% 2,500,000 11/15/2002 2,575,000
Seven-Up/RC Bottling Co. of
Southern California, Inc.
Notes, 11.50%(box) 13,500,000 8/01/1999 5,805,000
Smittys Super Value Inc. Sr. Sub.
Notes, 12.75% 3,250,000 6/15/2004 3,152,500
Specialty Foods Corp. Sr. Sec.
Deb., 13.00% 1,750,000 8/15/2005 910,000
Specialty Foods Corp. Sr. Note,
11.125%+ 1,500,000 10/01/2002 1,470,000
Specialty Foods Corp. Sr. Sub.
Notes, 11.25% 4,500,000 8/15/2003 4,173,750
-----------
31,338,538
-----------
Gaming & Lodging 7.0%
AZTAR Corp. Sr. Sub. Notes,
11.00% 3,000,000 10/01/2002 2,865,000
Belle Casinos, Inc. First
Mortgage Notes, 12.00%+(box) 700,000 10/15/2000 280,000
Boomtown Inc. First Mortgage
Notes, 11.50% 8,750,000 11/01/2003 8,006,250
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
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Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------
Gaming & Lodging (cont'd)
Fitzgeralds Gaming Corp. Sr. Sec.
Units, 13.75% to 6/14/95,
14.00% from 6/15/95 to 9/14/95,
14.25% from 9/15/95 to
12/14/95, 14.50% to maturity+ $ 750,000 3/15/1996 $ 562,500
Goldriver Hotel & Casino Corp.
Mortgage Notes, 13.375%(box) 8,924,000 8/31/1999 4,908,200
Great Bay Property Funding Corp.
First Mortgage Note, 10.875% 7,000,000 1/15/2004 5,897,500
Griffin Gaming & Entertainment,
Inc. Sec. Note, 0.00% 1,950,000 6/30/2000 1,609,920
HWCC-Tunica, Inc. First Mortgage
Note, 13.50%+ 2,000,000 9/30/1998 2,420,000
Harrah's Jazz First Mortgage
Note, 14.25% 7,000,000 11/15/2001 6,545,000
Mohegan Tribal Gaming Authority
Sr. Sec. Notes, 13.50%+ 3,000,000 11/15/2002 3,112,500
Motels of America, Inc. Sr. Sub.
Notes, 12.00% 5,500,000 4/15/2004 5,555,000
President Riverboat Casinos,
Inc., Sr. Sub. Notes, 13.00% 2,000,000 9/15/2001 1,780,000
Resorts International, Inc.
Notes, 11.00% 3,000,000 9/15/2003 2,730,000
Sahara Finance Corp. Notes,
12.125% 4,456,634 8/31/1996 4,657,182
Treasure Bay Gaming and Resorts
Inc. First Mortgage Units,
12.25%+(box) 1,000,000 11/15/2000 200,000
Trump Plaza Funding, Inc. First
Mortgage Notes, 10.875% 4,500,000 6/15/2001 4,123,125
Trump Taj Mahal Funding, Inc.
Mortgage Units, 11.35%(diamond) 745,747 11/15/1999 661,850
-----------
55,914,027
-----------
Groceries 4.6%
Almacs, Inc. Sr. Sub. Note,
11.50% 1,000 11/18/2004 180
Dominicks Finer Foods, Inc. Sr.
Sub. Note, 10.875%+ 6,000,000 5/01/2005 6,112,500
Farm Fresh Inc. Sr. Notes, 12.25% 200,000 10/01/2000 173,000
Farm Fresh Inc. Cv. Sub. Deb.,
7.50% 100,000 3/01/2010 65,000
Grand Union Co. Sr. Sub. Notes,
12.00%(box) 6,250,000 9/01/2004 6,000,000
Kash N Karry Food Stores, Inc.
Sr. Note, 11.50% 1,334,700 2/01/2003 1,314,680
Pathmark Stores, Inc. Sub. Notes,
11.625% 2,000,000 6/15/2002 2,115,000
Pathmark Stores, Inc. Jr. Sub.
Notes, 0.00% to
10/31/99, 10.75% from 11/1/99
to maturity 3,000,000 11/01/2003 1,942,500
Ralphs Grocery Co. Sr. Note,
10.45% 9,500,000 6/15/2004 9,286,250
Ralphs Grocery Co. Sr. Sub. Note,
13.75% 2,500,000 6/15/2005 2,637,500
Ralphs Supermarkets, Inc. Sr.
Sub. Note, 11.00% 7,500,000 6/15/2005 7,012,500
Safeway Stores, Inc. Lease
Certificates, 13.50% 90,123 1/15/2009 119,639
Victory Markets Inc. Sub. Deb.,
12.50%(box) 925,000 3/15/2000 138,750
-----------
36,917,499
-----------
Health Care & Hospital Management 0.9%
Amerisource Distribution Corp.
Sr. Deb., 11.25%(diamond) 5,138,746 7/15/2005 5,524,152
Total Renal Care, Inc. Sr. Sub.
Disc. Units, 0.00% to 8/14/97,
12.00% from 8/15/97 to maturity 1,750,000 8/15/2004 1,540,000
-----------
7,064,152
-----------
Media 8.9%
Affinity Group, Inc. Sr. Sub.
Deb., 11.50% 8,000,000 10/15/2003 8,040,000
Granite Broadcasting Corp. Sr.
Sub. Deb., 12.75% 9,619,000 9/01/2002 10,701,138
Heritage Media Corp. Notes,
11.00% 6,250,000 10/01/2002 6,656,250
Lamar Advertising Co. Sr. Sec.
Notes, 11.00% 750,000 5/15/2003 757,500
New City Communications Inc. Sr.
Sub. Note, 11.375% 1,000,000 11/01/2003 975,000
Outlet Broadcasting, Inc. Sr.
Sub. Note, 10.875% 750,000 7/15/2003 817,500
PageMart, Inc. Sr. Disc. Note,
0.00% to 10/31/98, 12.25% from
11/1/98 to maturity 7,400,000 11/01/2003 5,032,000
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
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INVESTMENT PORTFOLIO (cont'd)
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------
Media (cont'd)
PageMart Nationwide, Inc. Sr.
Disc. Note, 0.00% to
1/31/2000, 15.00% from 2/1/2000
to maturity+ $ 5,250,000 2/01/2005 $ 3,123,750
Pegasus Media Communications,
Inc. Sr. Sub. Note, 12.50%+ 3,750,000 7/01/2005 3,792,188
SFX Broadcasting Co. Sr. Sub.
Notes, 11.375% 4,500,000 10/01/2000 4,691,250
Universal Outdoor Holdings, Inc.
Sr. Sec. Disc. Note, 0.00% to
6/30/99, 14.00% from 7/1/99 to
maturity 9,700,000 7/01/2004 6,062,500
U.S.A. Mobile Communications,
Inc. Sr. Notes, 9.50% 15,270,000 2/01/2004 14,201,100
U.S.A. Mobile Communications,
Inc. Sr. Notes, 14.00% 5,500,000 11/01/2004 6,297,500
-----------
71,147,676
-----------
Metal & Mining 8.7%
Algoma Steel, Inc. First Mortgage
Notes, 12.375% 11,250,000 7/15/2005 10,293,750
Bayou Steel Corp. First Mortgage
Notes, 10.25% 6,250,000 3/01/2001 5,921,875
Carbide/Graphite Group, Inc.
Sr. Notes, 11.50% 2,750,000 9/01/2003 2,921,875
Crown Resources Corp. Cv. Sub.
Deb., 5.75% 220,000 8/27/2001 165,000
GS Technologies Operating Co. Sr.
Notes, 12.00% 5,250,000 9/01/2004 5,223,750
Geneva Steel Co. Sr. Notes,
11.125% 750,000 3/15/2001 615,000
Haynes International, Inc. Sr.
Sec. Notes, 11.25% 7,925,000 6/15/1998 7,528,750
Haynes International, Inc. Sr.
Sub. Notes, 13.50% 10,400,000 8/15/1999 7,280,000
Horsehead Industries, Inc. Sub.
Notes, 14.00% 11,712,000 6/01/1999 11,946,240
Kaiser Aluminum & Chemical Corp.
Sr. Sub. Note, 12.75% 3,250,000 2/01/2003 3,518,125
Renco Metals Inc. Sr. Notes,
12.00% 2,500,000 7/15/2000 2,687,500
Sheffield Steel Corp. First
Mortgage Notes, 12.00% 11,750,000 11/01/2001 10,751,250
UCAR Global Enterprises, Inc. Sr.
Sub. Notes, 12.00% 935,000 1/15/2005 1,042,525
-----------
69,895,640
-----------
Oil & Gas 6.4%
Dual Drilling Co. Sr. Sub. Notes,
9.875% 7,500,000 1/15/2004 6,993,750
Empire Gas Corp. Sr. Sec. Notes,
7.00% to 7/14/99, 12.875% from
7/15/99 to maturity 5,750,000 7/15/2004 4,743,750
Global Marine Inc. Sr. Sec.
Notes, 12.75% 2,000,000 12/15/1999 2,210,000
Moran Energy, Inc. Cv. Sub. Deb.,
8.75% 2,420,000 1/15/2008 1,802,900
Moran Energy International N.V.
Cv. Sub. Deb., 8.00% 6,067,000 11/01/1995 6,021,498
Presidio Oil Co. Sr. Sec. Notes,
11.50%(box) 8,102,950 9/15/2000 7,819,347
Presidio Oil Co. Sr. Sub. Gas
Indexed Notes, 13.30%(box) 6,000,000 7/15/2002 4,800,000
Rowan Drilling Co., 11.875% 5,154,000 12/01/2001 5,579,205
TransAmerican Refining Corp. Sr.
Sec. Notes, 16.50% to 8/14/98,
16.00% from 8/15/98 to maturity 250,000 2/15/2002 268,750
Tuboscope Vetco International
Inc. Sr. Sub. Deb., 10.75% 2,000,000 4/15/2003 2,040,000
Wilrig A.S. Sr. Sec. Notes,
11.25% 8,430,000 3/15/2004 9,104,400
-----------
51,383,600
-----------
Paper 2.6%
Crown Packaging Holdings Ltd. Sr.
Sec. Notes, 10.75% 3,300,000 11/01/2000 3,159,750
Crown Packaging Holdings Ltd. Sr.
Sub. Notes, 0.00% to
10/31/2000, 12.25% from
11/1/2000 to maturity 13,000,000 11/01/2003 5,947,500
Equitable Bag Co., Inc. Sr.
Notes, 11.00%(box) 6,738,000 12/16/2004 3,301,620
Fort Howard Paper Co. Sr. Sub.
Notes, 9.00% 1,000,000 2/01/2006 940,000
Mail-Well Envelope Corp. Sr. Sub.
Note, 10.50% 1,500,000 2/15/2004 1,455,000
Mail-Well Holdings, Inc. Sr.
Notes, 0.00% to 2/14/2000,
11.75% from 2/15/2000 to
maturity 2,500,000 2/15/2006 1,625,000
P.T. Indah Kiat Pulp & Paper Co.
Gtd. Note, 12.50% 4,500,000 6/15/2006 4,657,500
-----------
21,086,370
-----------
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
- --------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- --------------------------------------------------------------------------
Plastics 0.6%
Foamex L.P. Sr. Notes, 11.25% $ 4,500,000 10/01/2002 $ 4,612,500
-----------
Publishing 0.9%
Bell & Howell Co. Series B
Sr. Disc. Deb., 0.00% to
2/28/2000, 11.50% from 3/1/2000
to maturity 2,500,000 3/01/2005 1,550,000
General Media Inc. Sr. Sec.
Notes, 10.625% 2,500,000 12/31/2000 1,975,000
Sullivan Graphics, Inc. Sr. Sub.
Notes, 12.75%+ 3,750,000 8/01/2005 3,736,875
-----------
7,261,875
-----------
Real Estate/Building 3.0%
Associated Materials Inc. Sr.
Sub. Notes, 11.50% 3,000,000 8/15/2003 2,760,000
Dal-Tile International Inc. Sr.
Sec. Notes, 0.00% 10,500,000 7/15/1998 7,980,000
Miles Home Services, Inc. Sr.
Note, 12.00% 4,250,000 4/01/2001 3,230,000
Overhead Door Corp., 12.25% 2,500,000 2/01/2000 2,387,500
Waxman Industries, Inc. Sr. Sec.
Notes, 12.25% 5,000,000 9/01/1998 4,750,000
Waxman Industries, Inc. Sr. Sec.
Notes, 0.00% to
5/31/99, 12.75% from 6/1/99 to
maturity 7,424,000 6/01/2004 2,895,360
-----------
24,002,860
-----------
Retail Trade 2.7%
County Seat Stores, Inc. Sr. Sub.
Notes, 12.00% 2,000,000 10/01/2002 1,870,000
Finlay Enterprises, Inc. Sr.
Disc. Deb., 0.00% to 4/30/98,
12.00% from 5/1/98 to maturity 10,570,000 5/01/2005 7,293,300
Finlay Fine Jewelry Corp. Sr.
Note, 10.625% 5,250,000 5/01/2003 5,197,500
Loehmann's Holdings, Inc. Sr.
Sub. Notes, 13.75% 3,000,000 2/15/1999 2,970,000
Mothers Work, Inc. Sr. Note,
12.625%+ 2,500,000 8/01/2005 2,450,000
Pamida, Inc. Sr. Sub. Notes,
11.75% 250,000 3/15/2003 210,000
Petro PSC Properties, Inc. Sr.
Note, 12.50% 2,000,000 6/01/2002 1,960,000
-----------
21,950,800
-----------
Shipping/Transportation 0.9%
Tiphook Finance Corp. Notes,
7.125% 5,333,000 5/01/1998 4,319,730
Tiphook Finance Corp. Notes,
8.00% 595,000 3/15/2000 476,000
Tiphook Finance Corp. Notes,
10.75% 711,000 11/01/2002 597,240
Trans Ocean Container Corp. Sr.
Sub. Note, 12.25% 2,000,000 7/01/2004 2,040,000
-----------
7,432,970
-----------
Technology 5.8%
Anacomp, Inc. Sr. Sub. Notes,
15.00%(box) 12,929,000 11/01/2000 9,438,170
Anacomp, Inc. Cv. Deb., 13.875%(box) 120,000 1/15/2002 52,224
Anacomp International N.V. Cv.
Sub. Deb., 9.00% 3,100,000 1/15/1996 1,333,000
Celcaribe S.A. Units, 0.00% to
3/14/98, 13.50% from 3/15/98 to
maturity+ 581,000 3/15/2004 5,141,850
Computervision Corp. Sr. Sub.
Notes, 11.375% 7,750,000 8/15/1999 7,905,000
Dial Call Communications Inc. Sr.
Disc. Notes, 12.25% 3,250,000 4/15/2004 1,714,375
GenRad Inc. Cv. Sub. Deb., 7.25% 608,000 5/01/2011 572,280
IntelCom Group, Inc. Sr. Disc.
Units, 0.00% to 9/14/2000,
13.50% from 9/15/2000 to
maturity+ 65,000 9/15/2005 3,591,250
Mobile Telecommunications Inc.
Sr. Sub. Notes, 13.50% 7,500,000 12/15/2002 8,400,000
ProNet, Inc. Sr. Sub. Notes,
11.875%+ 3,250,000 6/15/2005 3,445,000
Protection One Alarm Monitoring,
Inc. Units, 0.00% to 6/29/98,
13.375% from 6/30/98 to
maturity+ 3,250,000 6/30/2005 2,275,000
Viatel, Inc. Sr. Disc. Note,
0.00% to 1/14/2000,
15.00% from 1/15/2000 to
maturity+ 4,500,000 1/15/2005 2,385,000
-----------
46,253,149
-----------
Textile & Apparel 1.3%
Ithaca Industries, Inc. Sr. Sub.
Notes, 11.125% 11,250,000 12/15/2002 10,687,500
-----------
Total Bonds (Cost $660,147,255) 635,955,332
-----------
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
- ---------------------------------------------------------------
INVESTMENT PORTFOLIO (cont'd)
- ---------------------------------------------------------------
- --------------------------------------------------------------
Value
Shares (Note 1)
- --------------------------------------------------------------
PREFERRED STOCKS 11.2%
Aerospace 0.7%
Panamsat Corp. Sr. Exch. Pfd. 4,633 $ 5,188,960
-----------
Automotive 1.2%
Harvard Industries, Inc. 14.25%
Exch. Pfd.(diamond) 370,933 9,412,430
-----------
Banking 0.3%
Riverbank American Pfd.* 110,000 2,530,000
-----------
Business Service 1.0%
Anacomp, Inc. Cv. Pfd. 25,000 200,000
La Petite Holdings Co. Cum. Red.
Exch. Pfd.* 361,000 7,942,000
-----------
8,142,000
-----------
Drug 0.2%
Fox Meyer Health Corp. Pfd. Series
A(diamond) 35,767 1,336,792
-----------
Electric 0.1%
Consolidated Hydro, Inc. Cv. Pfd.* 2,000 980,000
-----------
Forest Products 0.4%
SD Warren Co. Series B Sr. Exchange
Pfd. 108,000 3,240,000
-----------
Metal & Mining 0.9%
Geneva Steel Co. Series B Red.
Exch. Pfd. 41,000 3,157,000
Kaiser Aluminum Corp. Cv. Pfd. 222,500 3,031,563
Stelco Inc. Series C Cv. Pfd.(diamond) 69,600 1,167,122
-----------
7,355,685
-----------
Printing & Publishing 0.7%
K-III Communications Corp. Series B
Exch. Pfd.(diamond) 58,966 5,778,700
-----------
Recreation 3.8%
Granite Broadcasting Corp. Cv.
Exch. Pfd.(diamond) 272,000 15,028,000
Lewis Galoob Toys, Inc. Cv. Exch.
Pfd.* 352,000 6,468,000
Live Entertainment Inc. Series B
Cv. Pfd. 311,700 1,987,088
Pyramid Communications, Inc. Series
C Exch. Pfd.*+ 276,542 7,051,829
Sahara Gaming Corp. Exch.
Pfd.*(diamond) 417,450 286,997
-----------
30,821,914
-----------
Retail Trade 1.7%
Loehmanns Holdings, Inc. Series A
Pfd.(diamond) 895,340 384,996
Supermarkets General Holding Corp.
Exch. Pfd.*(diamond) 453,540 13,039,275
-----------
13,424,271
-----------
Textile & Apparel 0.2%
JPS Textile Group, Inc. Series A
Sr. Pfd.(diamond) 51,119 1,329,094
Town & Country Corp. Exch.
Pfd.(diamond)# 95,803 167,655
-----------
1,496,749
-----------
Total Preferred Stocks (Cost
$81,216,182) 89,707,501
-----------
COMMON STOCKS & OTHER 4.9%
Algoma Steel, Inc. Com. 6,584 $ 30,615
American Telecasting, Inc. Wts.* 31,850 31,850
Atlantic Richfield Co. 595,000 15,172,500
Axia Holdings Corp. Com.*+ 2,250 67,500
Belle Casinos, Inc. Wts.*+ 1,400 14
Boomtown, Inc. Wts.* 7,250 3,625
CHC Helicopter Corp. Wts.* 46,000 46,000
Central Rents, Inc. Wts.* 5,250 210,000
Chattem, Inc. Wts.* 2,000 7,000
Chatwins Group Inc. Wts.* 7,000 3,500
County Seat Holdings, Inc. Wts.* 2,000 20,000
Crown Packaging Holdings Ltd.
Wts.*+ 17,250 332,063
Dimac Corp. Com.* 24,174 450,241
Dr. Pepper Bottling Co. Cl. A Com.* 50,000 175,000
Empire Gas Corp. Wts.* 2,760 2,760
Equitable Bag, Inc. Cl. A Com.* 640,117 32,006
Federated Department Stores, Inc.
Series C Wts.* 46,435 423,719
Federated Department Stores, Inc.
Series D Wts.* 46,435 435,328
Finlay Enterprises, Inc. Cl. A
Com.* 12,760 220,110
Fitzgerald Gaming Corp. Wts.*+ 2,250 22,500
Food 4 Less Holdings, Inc. Wts.*# 24,223 2,571,271
Gaylord Container Corp. Com.* 6,249 58,975
General Media Inc. Wts.*+ 2,500 25,000
Geneva Steel Co. Wts.*+ 91,975 321,913
Goldriver Hotel & Casino Corp. Cl.
B Com.* 52,500 6,563
Goldriver Hotel & Casino Corp.
Liquidation Trust Units*# 5,250,000 66,675
Grand Union Co. Com.* 154,649 2,010,437
Harvard Industries, Inc. Cl. B
Com.* 40,000 1,070,000
ICF Kaiser International, Inc.
Wts.* 22,800 17,100
INDSPEC Chemical Corp. Wts.*# 506 396,208
Insight Communications Co., L.P.
Wts.* 25,000 43,750
Jewel Recovery L.P. Units* 82,595 826
Kaiser Aluminum Corp. Com.* 443,580 6,487,358
Ladish Company, Inc. Com.* 520,000 156,000
Little Switzerland, Inc. Com.* 94,263 377,052
LTX Corp. Com.* 262,857 3,318,570
Mail-Well Holdings, Inc. Com.*+ 5,000 215,000
Miles Homes, Inc. Wts.* 51,000 12,750
Motels of America, Inc. Com.*+ 5,500 412,500
PageMart, Inc. Wts.*+ 21,850 133,831
Investment Portfolio (cont'd)
PageMart Nationwide, Inc. Com.*+ 18,375 174,563
Petro PSC Properties, Inc. Wts.* 2,000 68,000
PST Holdings, Inc. Com.* 45,300 45,300
Pyramid Communications, Inc. Cl. B
Com.*+ 6,296 314,795
Renaissance Cosmetics, Inc. Wts.*+ 2,000 35,000
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
- -----------------------------------------------------------------
Value
Shares (Note 1)
- -----------------------------------------------------------------
COMMON STOCKS & OTHER (cont'd)
S.D.W. Holdings Corp. Wts.*+ 108,000 $ 756,000
Sheffield Steel Corp. Wts.* 38,750 116,250
Smittys Supermarkets, Inc. Cl. B Com.* 3,250 24,375
Terex Corp. Rts.* 6,300 3,150
Thermoscan, Inc. Cl. B Com.* 35,750 572,000
Total Renal Care, Inc. Cl. B Com.* 15,750 122,063
Town & Country Corp. Cl. A Com.* 371,830 325,351
TransAmerican Refinancing Corp. Wts.* 12,626 44,191
Universal Outdoor Holdings, Inc. Wts.* 9,700 388,000
Vestar/LPA Investment Corp. Com.*+ 14,250 213,750
Viatel, Inc. Com.*+ 162,450 649,800
Waxman Industries, Inc. Wts.*+ 236,000 29,500
----------
Total Common Stocks & Other (Cost
$40,973,412) 39,270,198
----------
- ------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- ------------------------------------------------------------------------
COMMERCIAL PAPER 3.8%
American Express Credit Corp.,
5.75% $ 8,101,000 10/5/1995 $ 8,101,000
Commercial Credit Co., 5.74% 11,548,000 10/2/1995 11,548,000
Ford Motor Credit Co., 5.66% 997,000 10/2/1995 997,000
General Electric Capital
Corp., 5.72% 9,996,000 10/3/1995 9,996,000
-----------
Total Commercial Paper (Cost $30,642,000) 30,642,000
-----------
Total Investments (Cost $812,978,849)--99.1% 795,575,031
Cash and Other Assets, Less Liabilities--0.9% 7,494,481
-----------
Net Assets--100.0% $803,069,512
===========
Federal Income Tax Information (Note 1):
At September 30, 1995, the net unrealized depreciation
of investments based on cost for Federal income tax
purposes of $813,885,947 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost $ 44,331,355
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (62,642,271)
-----------
$(18,310,916)
===========
* Nonincome-producing securities
(diamond) Payments of income may be made in cash or in the form of additional
securities.
(box) Security is in default.
# Security valued under consistently applied procedures established by
the Trustees. Security restricted as to public resale. At September
30, 1995, there were no outstanding unrestricted securities of the
same class as those held. The total cost and market value of
restricted securities owned at September 30, 1995 were $688,317 and
$3,201,809 (0.40% of net assets), respectively.
+ Security restricted in accordance with Rule 144A under the
Securities Act of 1933, which allows for the resale of such
securities among certain qualified institutional buyers. The total
cost and market value of Rule 144A securities owned at September 30,
1995 were $84,033,928 and $83,181,471 (10.36% of net assets),
respectively.
ASSET COMPOSITION TABLE
September 30, 1995
Percentage of
Ratings++ Net Assets*
- -------------- -------------
BB 3.8%
B 61.6
CCC and below 13.8
Equities 16.1
Other 4.7
-----
TOTAL 100.0%
=====
++ As rated by Standard & Poor's Corp. and/or
equivalent rating by Moody's Investors Service, Inc.
* Unrated bonds were included among relevant rating categories as determined
by the Fund's manager.
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
- --------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------
September 30, 1995 (Unaudited)
Assets
Investments, at value (Cost $812,978,849) (Note 1) $795,575,031
Cash 111
Interest and dividends receivable 17,368,077
Receivable for securities sold 6,301,790
Receivable for fund shares sold 951,636
Other assets 49,763
-----------
820,246,408
Liabilities
Payable for securities purchased 12,507,716
Dividends payable 2,357,034
Payable for fund shares redeemed 929,935
Accrued management fee (Note 2) 428,337
Accrued transfer agent and shareholder services
(Note 2) 381,697
Accrued distribution fee (Note 4) 263,987
Accrued trustees' fees (Note 2) 26,456
Other accrued expenses 281,734
-----------
17,176,896
-----------
Net Assets $803,069,512
===========
Net Assets consist of:
Undistributed net investment income $ 375,178
Unrealized depreciation of investments (17,403,818)
Accumulated net realized loss (30,892,548)
Shares of beneficial interest 850,990,700
-----------
$803,069,512
===========
Net Asset Value and redemption price per share of
Class A shares ($635,537,095 / 108,158,959
shares of beneficial interest) $5.88
===========
Maximum Offering Price per share of Class A shares
($5.88 / .955) $6.16
===========
Net Asset Value and offering price per share of
Class B shares ($151,952,120 / 25,953,226 shares
of beneficial interest)* $5.85
===========
Net Asset Value, offering price and redemption
price per share of Class C shares ($3,456,212 /
590,638 shares of beneficial interest) $5.85
===========
Net Asset Value and offering price per share of
Class D shares ($12,124,085 / 2,068,361 shares
of beneficial interest)* $5.86
===========
* Redemption price per share for Class B and Class D is equal to net asset
value less any applicable contingent deferred sales charge.
- --------------------------------------------------------------------------
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------
For the six months ended September 30, 1995 (Unaudited)
Investment Income
Interest, net of foreign taxes of $12,157 $ 38,097,708
Dividends, net of foreign taxes of $3,679 3,518,833
-----------
41,616,541
Expenses
Management fee (Note 2) 2,532,996
Transfer agent and shareholder services (Note 2) 709,735
Custodian fee 133,956
Reports to shareholders 67,893
Distribution fee--Class A (Note 4) 789,340
Distribution fee--Class B (Note 4) 675,553
Distribution fee--Class D (Note 4) 49,058
Audit fee 47,031
Registration fees 32,940
Trustees' fees (Note 2) 26,047
Legal fees 12,383
Miscellaneous 32,206
-----------
5,109,138
-----------
Net investment income 36,507,403
-----------
Realized and Unrealized Gain (Loss)
on Investments and Foreign Currency
Net realized loss on investments (Notes 1 and 3) (18,440,171)
-----------
Net unrealized appreciation of investments 30,033,211
Net unrealized depreciation of foreign currency (6,955)
-----------
Total net unrealized appreciation 30,026,256
-----------
Net gain on investments and foreign currency 11,586,085
-----------
Net increase in net assets resulting from
operations $ 48,093,488
===========
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
- --------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------
Six months
ended
September 30,
1995 Year ended
(Unaudited) March 31, 1995
- --------------------------------------------------------------------
Increase (Decrease) in Net Assets
Operations:
Net investment income $ 36,507,403 $ 73,111,882
Net realized loss on
investments* (18,440,171) (10,256,401)
Net unrealized appreciation
(depreciation) of investments
and foreign currency 30,026,256 (51,717,996)
------------ ------------
Net increase resulting from
operations 48,093,488 11,137,485
------------ ------------
Dividends from net investment
income:
Class A (31,143,386) (68,341,894)
Class B (6,180,413) (9,517,499)
Class C (151,907) (185,611)
Class D (445,994) (474,138)
------------ ------------
(37,921,700) (78,519,142)
------------ ------------
Distributions from net realized
gains:
Class A (804,838) (5,956,632)
Class B (159,995) (701,101)
Class C (3,577) (10,576)
Class D (10,572) (29,366)
------------ ------------
(978,982) (6,697,675)
------------ ------------
Net increase from fund share
transactions (Note 5) 48,302,099 98,050,321
------------ ------------
Total increase in net assets 57,494,905 23,970,989
Net Assets
Beginning of period 745,574,607 721,603,618
------------ ------------
End of period (including
undistributed net investment
income of $375,178 and
$1,789,475, respectively) $803,069,512 $745,574,607
============ ============
* Net realized gain (loss) for
Federal income tax purposes
(Note 1) $(29,224,396) $ 1,433,108
============ ============
- --------------------------------------------------------------------
NOTES TO UNAUDITED FINANCIAL STATEMENTS
- --------------------------------------------------------------------
September 30, 1995
Note 1
State Street Research High Income Fund, formerly MetLife-State Street
Research High Income Fund (the "Fund") is a series of State Street Research
Income Trust, formerly MetLife-State Street Income Trust (the "Trust"), which
was organized as a Massachusetts business trust on December 23, 1985 and is
registered under the Investment Company Act of 1940, as amended, as an
open-end management investment company. The Trust commenced operations in
August, 1986. The Trust consists of two separate funds: State Street Research
High Income Fund and State Street Research Managed Assets.
The Fund offers four classes of shares. Class A shares are subject to an
initial sales charge of up to 4.50% and an annual service fee of 0.25% of
average daily net assets. Investments of $1 million or more in Class A
shares, which are not subject to any initial sales charge, are subject to a
1.00% contingent deferred sales charge if redeemed within one year of
purchase. Class B shares are subject to a contingent deferred sales charge on
certain redemptions made within five years of purchase and pay annual
distribution and service fees of 1.00%. Class B shares automatically convert
into Class A shares (which pay lower ongoing expenses) at the end of eight
years after the issuance of the Class B shares. Class C shares are only
offered to certain employee benefit plans and large institutions. No sales
charge is imposed at the time of purchase or redemption of Class C shares.
Class C shares do not pay any distribution or service fees. Class D shares
are subject to a contingent deferred sales charge of 1.00% on any shares
redeemed within one year of their purchase. Class D shares also pay annual
distribution and service fees of 1.00%. The Fund's expenses are borne
pro-rata by each class, except that each class bears expenses, and has
exclusive voting rights with respect to provisions of the Plan of
Distribution, related specifically to that class. The Trustees declare
separate dividends on each class of shares.
The following significant accounting policies are consistently followed by
the Fund in preparing its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies.
A. Investment Valuation
Fixed income securities are valued by a pricing service, which utilizes
market transactions, quotations from dealers, and various relationships among
securities in determining value. If not valued by a pricing service, such
securities are valued at prices obtained from independent brokers. Values for
listed equity securities reflect final sales on national securities exchanges
quoted prior to the close of the New York Stock Exchange. Over-the-counter
securities quoted on the National Association of Securities Dealers Automated
Quotation ("NASDAQ") system are valued at closing prices supplied through
such system. If not quoted on the NASDAQ system, such securities are valued
at prices obtained from independent brokers. In the absence of recorded
sales, valuations are at the mean of the closing bid and asked quotations.
Short-term securities maturing within sixty days are valued at amortized
cost. Other securities,
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
- -----------------------------------------------------------------------------
Notes (cont'd)
- -----------------------------------------------------------------------------
if any, are valued at their fair value as determined in good faith under
consistently applied procedures established by and under the supervision of
the Trustees.
Securities quoted in foreign currencies are translated into U.S. dollars at
the current exchange rate. Gains and losses that arise from changes in
exchange rates are not segregated from gains and losses that arise from
changes in market prices of investments.
B. Security Transactions
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis
of identified cost of securities delivered.
C. Net Investment Income
Net investment income is determined daily and consists of interest and
dividends accrued and discount earned, less the estimated daily expenses of
the Fund. Interest income is accrued daily as earned. Dividend income is
accrued on the ex-dividend date. Discount on debt obligations is amortized
under the effective yield method. Certain fixed income and preferred
securities held by the Fund pay interest or dividends in the form of
additional securities (payment-in-kind securities). Interest income on
payment-in-kind fixed income securities is recorded using the
effective-interest method. Dividend income on payment-in-kind preferred
securities is recorded at the market value of securities received. The Fund
is charged for expenses directly attributable to it, while indirect expenses
are allocated between both funds in the Trust.
D. Dividends
Dividends are declared daily based upon projected net investment income and
paid or reinvested monthly. Net realized capital gains, if any, are
distributed annually, unless additional distributions are required for
compliance with applicable tax regulations.
Income dividends and capital gain distributions are determined in accordance
with Federal income tax regulations which may differ from generally accepted
accounting principles. The difference is primarily due to differing treatment
of accrued interest on defaulted bonds.
E. Federal Income Taxes
No provision for Federal income taxes is necessary because the Fund has
elected to qualify under Subchapter M of the Internal Revenue Code and its
policy is to distribute all of its taxable income, including net realized
capital gains, within the prescribed time periods.
In order to meet certain excise tax distribution requirements under Section
4982 of the Internal Revenue Code, the Fund is required to measure and
distribute annually, if necessary, net capital gains realized during a
twelve-month period ending October 31. In this connection, the Fund is
permitted to defer into its next fiscal year any net capital losses incurred
between each November 1 and the end of its fiscal year. From November 1, 1994
through March 31, 1995, the Fund incurred net capital losses of approximately
$9,300,000 and intends to defer and treat such losses as arising in the
fiscal year ending March 31, 1996.
Note 2
The Trust and State Street Research & Management Company (the "Adviser"), an
indirect wholly owned subsidiary of Metropolitan Life Insurance Company
("Metropolitan"), have entered into an agreement under which the Adviser
earns monthly fees at an annual rate of 0.65% of the Fund's average daily net
assets. In consideration of these fees, the Adviser furnishes the Fund with
management, investment advisory, statistical and research facilities and
services. The Adviser also pays all salaries, rent and certain other expenses
of management. During the six months ended September 30, 1995, the fees
pursuant to such agreement amounted to $2,532,996.
State Street Research Shareholder Services, a division of State Street
Research Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), an indirect wholly owned subsidiary of Metropolitan, provides
certain shareholder services to the Fund such as responding to inquiries and
instructions from investors with respect to the purchase and redemption of
shares of the Fund. During the six months ended September 30, 1995, the
amount of such expenses was $194,794.
The fees of the Trustees not currently affiliated with the Adviser amounted
to $26,047 during the six months ended September 30, 1995.
Note 3
For the six months ended September 30, 1995, purchases and sales of
securities, exclusive of short-term investments, aggregated $297,238,290 and
$255,348,719, respectively.
Note 4
The Trust has adopted a Plan of Distribution Pursuant to Rule 12b-1 (the
"Plan") under the Investment Company Act of 1940. Under the Plan, the Fund
pays annual service fees to the Distributor at a rate of 0.25% of average
daily net assets for Class A, Class B and Class D shares. In addition, the
Fund pays annual distribution fees of 0.75% of average daily net assets for
Class B and Class D shares. The Distributor uses such payments for personal
service and/or the maintenance of shareholder accounts, to reimburse
securities dealers for distribution and marketing services, to furnish
ongoing assistance to investors and to defray a portion of its distribution
and marketing expenses. For the six months ended September 30, 1995, fees
pursuant to such plan amounted to $789,340, $675,553 and $49,058 for Class A,
Class B and Class D shares, respectively.
The Fund has been informed that the Distributor and MetLife Securities, Inc.,
a wholly owned subsidiary of Metropolitan, earned initial sales charges
aggregating $163,015 and $1,046,398, respectively, on sales of Class A shares
of the Fund during the six months ended September 30, 1995, and that MetLife
Securities, Inc. earned commissions aggregating $812,959 on sales of Class B
shares, and that the Distributor collected contingent deferred sales charges
aggregating $2,615, $183,452 and $805 on redemptions of Class A, Class B and
Class D shares, respectively, during the same period.
11
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
Note 5
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, $.001 par value per share.
At September 30, 1995, Metropolitan owned 161 Class C shares and 80,988 Class
D shares and the Distributor owned 7,018 Class A shares of the Fund.
Share transactions were as follows:
<TABLE>
<CAPTION>
Six months ended
September 30, 1995 Year ended
(Unaudited) March 31, 1995
-------------------------- ----------------------------
Class A Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 8,692,647 $ 50,926,869 21,246,001 $ 128,017,213
Issued upon reinvestment of:
Dividends from net investment income 3,440,896 20,149,973 7,531,344 44,748,968
Distributions from net realized gains 110,651 647,284 721,885 4,490,064
Shares repurchased (10,629,262) (62,243,714) (24,109,224) (144,623,371)
----------- ----------- ----------- ------------
Net increase 1,614,932 $ 9,480,412 5,390,006 $ 32,632,874
=========== =========== =========== ============
Class B Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------
Shares sold 6,950,689 $ 40,594,687 11,897,541 $ 71,267,750
Issued upon reinvestment of:
Dividends from net investment income 614,826 3,590,077 978,091 5,757,785
Distributions from net realized gains 21,578 125,811 85,923 533,729
Shares repurchased (1,985,086) (11,583,864) (3,103,165) (18,503,010)
----------- ----------- ----------- ------------
Net increase 5,602,007 $ 32,726,711 9,858,390 $ 59,056,254
=========== =========== =========== ============
Class C Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------
Shares sold 224,415 $ 1,309,005 425,482 $ 2,530,906
Issued upon reinvestment of:
Dividends from net investment income 22,137 129,225 19,434 114,077
Distributions from net realized gains 486 2,834 1,182 7,338
Shares repurchased (102,264) (596,965) (132,914) (791,910)
----------- ----------- ----------- ------------
Net increase 144,774 $ 844,099 313,184 $ 1,860,411
=========== =========== =========== ============
Class D Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------
Shares sold 1,109,605 $ 6,472,906 1,263,734 $ 7,538,932
Issued upon reinvestment of:
Dividends from net investment income 29,207 170,771 35,765 209,720
Distributions from net realized gains 1,314 7,661 3,762 23,361
Shares repurchased (239,566) (1,400,461) (549,698) (3,271,231)
----------- ----------- ----------- ------------
Net increase 900,560 $ 5,250,877 753,563 $ 4,500,782
=========== =========== =========== ============
</TABLE>
12
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
- -------------------------------------------------------------------------------
Financial Highlights
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A
--------------------------------------------------------------------------
For a share outstanding throughout each period. Six months ended Year ended March 31
September 30, 1995 ------------------------------------------------------
(Unaudited)* 1995* 1994 1993 1992 1991
==========================================================================
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $5.80 $6.43 $6.32 $5.95 $5.21 $5.88
Net investment income .28 .61 .66 .67 .71 .75
Net realized and unrealized gain (loss) on investments
and foreign currency .10 (.58) .22 .37 .72 (.67)
Dividends from net investment income (.29) (.60) (.62) (.67) (.69) (.75)
Distributions from net realized gains (.01) (.06) (.15) -- -- --
----- ----- ----- ----- ----- -----
Net asset value, end of period $5.88 $5.80 $6.43 $6.32 $5.95 $5.21
===== ===== ===== ===== ===== =====
Total return 6.46%++ 1.80%+ 14.58%+ 18.70%+ 28.99%+ 2.18%+
Net assets at end of period (000s) $635,537 $618,462 $650,755 $496,352 $308,921 $195,739
Ratio of operating expenses to average net assets 1.17%# 1.23% 1.16% 1.15% 1.17% 1.21%
Ratio of net investment income to average net assets 9.51%# 10.19% 10.41% 11.25% 12.71% 14.21%
Portfolio turnover rate 34.19% 31.55% 24.36% 79.39% 72.62% 58.15%
</TABLE>
<TABLE>
<CAPTION>
Class B Class C Class D
-------------------------------- ----------------------------------- -----------------------------------
Six months Six months Six months
ended Year ended Year ended Year
September 30 ended September 30, ended September 30, ended
1995 March 31, 1995 March 31, 1995 March 31,
(Unaudited)* 1995* 1994** (Unaudited)* 1995* 1994** (Unaudited)* 1995* 1994**
========================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $5.79 $6.42 $6.34 $5.78 $6.42 $6.34 $5.79 $6.42 $6.34
Net investment income .26 .57 .51 .28 .64 .57 .25 .58 .51
Net realized and
unrealized gain
(loss) on
investments and
foreign currency .08 (.58) .15 .10 (.60) .14 .10 (.59) .15
Dividends from net
investment income (.27) (.56) (.48) (.30) (.62) (.53) (.27) (.56) (.48)
Distributions from
net realized gains (.01) (.06) (.10) (.01) (.06) (.10) (.01) (.06) (.10)
----- ----- ----- ----- ----- ----- ----- ----- -----
Net asset value, end
of period $5.85 $5.79 $6.42 $5.85 $5.78 $6.42 $5.86 $5.79 $6.42
===== ===== ===== ===== ===== ===== ===== ===== =====
Total return 5.90%++ 0.89%+ 10.76%++ 6.62%++ 1.73%+ 11.67%++ 6.08%++ 0.88%+ 10.74%++
Net assets at end of
period (000s) $151,952 $117,767 $67,337 $3,456 $2,579 $851 $12,124 $6,766 $2,661
Ratio of operating
expenses to average
net assets 1.92%# 1.98% 1.93%# 0.92%# 0.98% 0.93%# 1.93%# 1.98% 1.93%#
Ratio of net
investment income
to average net
assets 8.75%# 9.65% 10.32%# 9.74%# 10.85% 11.32%# 8.72%# 9.81% 10.32%#
Portfolio turnover
rate 34.19% 31.55% 24.36% 34.19% 31.55% 24.36% 34.19% 31.55% 24.36%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Per-share figures have been calculated using the average shares method.
** June 1, 1993 (commencement of share class designations) to March 31, 1994.
# Annualized
+ Total return figures do not reflect any front-end or contingent deferred
sales charges.
++ Represents aggregate return for the period without annualization and does
not reflect any front-end or contingent deferred sales charges.
13
<PAGE>
STATE STREET RESEARCH HIGH INCOME FUND
- ------------------------------------------------------------------------------
FUND INFORMATION, OFFICERS AND TRUSTEES OF STATE STREET RESEARCH INCOME TRUST
- ------------------------------------------------------------------------------
Fund Information
Investment Adviser
State Street Research &
Management Company
One Financial Center
Boston, MA 02111
Distributor
State Street Research
Investment Services, Inc.
One Financial Center
Boston, MA 02111
Shareholder Services
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408
1-800-562-0032
Custodian
State Street Bank and
Trust Company
225 Franklin Street
Boston, MA 02110
Legal Counsel
Goodwin, Procter & Hoar
Exchange Place
Boston, MA 02109
Officers
Ralph F. Verni
Chairman of the Board,
President and
Chief Executive Officer
Barlett R. Geer
Vice President
John H. Kallis
Vice President
Michael R. Yogg
Vice President
Gerard P. Maus
Treasurer
Joseph W. Canavan
Assistant Treasurer
Douglas A. Romich
Assistant Treasurer
Francis J. McNamara, III
Secretary and General Counsel
Darman A. Wing
Assistant Secretary and
Assistant General Counsel
Amy L. Simmons
Assistant Secretary
Trustees
Ralph F. Verni
Chairman of the Board,
President, Chief Executive
Officer and Director,
State Street Research &
Management Company
Edward M. Lamont
Formerly in banking (Morgan
Guaranty Trust Company of
New York); presently engaged
in private investments and
civic affairs
Robert A. Lawrence
Partner, Saltonstall & Co.
Dean O. Morton
Retired; formerly Executive
Vice President, Chief
Operating Officer and Director,
Hewlett-Packard Company
Thomas L. Phillips
Retired; formerly Chairman of
the Board and Chief Executive
Officer, Raytheon Company
Toby Rosenblatt
President,
The Glen Ellen Company
Vice President,
Founders Investments Ltd.
Michael S. Scott Morton
Jay W. Forrester Professor of
Management, Sloan School of
Management, Massachusetts
Institute of Technology
Jeptha H. Wade
Retired; formerly Of Counsel,
Choate, Hall & Stewart
14
<PAGE>
[Back cover]
State Street Research High Income Fund
One Financial Center
Boston, MA 02111
Bulk Rate
U.S. Postage
PAID
Brockton, MA
Permit No. 600
Questions? Comments?
Call us at 1-800-562-0032, or write us at:
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408
[State Street Research logo]
This report is preparedfor the general information of current shareholders only.
It is not authorized for use as sales material with prospective investors.
CONTROL NUMBER: 2791-951121(1296)SSR-LD Cover Illustration by Dorothy
Cullinan HI-271D-1195
<PAGE>
[Front cover]
[State Street Research logo]
State Street Research
Managed Assets
Semiannual Report
[graphic of man climbing blocks]
September 30, 1995
What's Inside
Investment Update:
About the Fund, economy and markets
Fund Information:
Facts and figures
Plus, Complete Portfolio Holdings and Financial Statements
<PAGE>
- -------------------------------------------------------------------------------
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
INVESTMENT UPDATE
INVESTMENT ENVIRONMENT
THE ECONOMY
(bullet) Economic growth has been moderate, and inflation remains low.
(bullet) Strong consumer confidence helped boost spending, resulting in higher
consumer debt levels. Job growth continues to fluctuate, and unemployment has
stayed relatively low.
(bullet) The Federal Reserve cut interest rates by one-quarter point on July
6, 1995. As of September 30, 1995, there had been no further action taken by
the Fed.
THE MARKETS
(bullet) Stock and bond markets showed strong performance, albeit with
occasional declines, from April 1 to September 30, 1995.
(bullet) 1995 continues to be the best year for stocks since 1991. The S&P 500
was up +18.23% for the six-month period ended September 30, 1995.(1) Small-
company stocks outperformed larger stocks during the same period, with the
Russell 2000 Growth Index up +22.42%.(1)
(bullet) Bonds also performed well. The Lehman Brothers Aggregate Bond Index
gained +8.18% from April 1 to September 30, 1995.(1)
THE FUND
OVER THE PAST SIX MONTHS
(bullet) Class A shares of the Fund provided a total return of +14.31% (not
including sales charge) for the six months ended September 30, 1995.(2) The
average total return for 161 funds in Lipper Analytical Services' Flexible
Portfolio Fund category was +13.24% for the same time period (does not reflect
sales charge).
(bullet) The Fund's performance was aided by strong returns from the stock side
of the portfolio--particularly international and large-company stocks. Bonds,
particularly international bonds, performed very well over the period-- although
not as well as the Fund's stock holdings.
(bullet) In July, we moved 5% of the Fund's assets from bonds to equities.
CURRENT STRATEGY
(bullet) 56% of the Fund's assets were invested in stocks, 29% in bonds, 11% in
inflation-responsive investments and 4% in cash on September 30, 1995.
(bullet) Stocks include large-capitalization and value stocks, which make up the
biggest part of the Fund's portfolio, as well as international and
smallcapitalization stocks.
(bullet) The Fund's greatest concentration of bonds is in high-grade bonds, with
high-yield bonds and international bonds making up smaller parts.
1 The Standard & Poor's 500 Composite Index (S&P 500) includes 500 widely
traded common stocks and is a commonly used measure of U.S. stock market
performance. The Russell 2000 Growth Index includes 2,000 small- company
stocks and is a commonly used measure of small-stock performance. The
Lehman Brothers Aggregate Bond Index is a commonly used measure of bond
market performance. The indices are unmanaged and do not take sales charges
into consideration. Direct investment in the indices is not possible;
results are for illustrative purposes only.
2 +13.81% for Class B shares; +14.32% for Class C shares; +13.78% for Class D
shares.
3 All returns represent past performance, which is no guarantee of future
results. The investment return and principal value of an investment made in
the Fund will fluctuate, and shares, when redeemed, may be worth more or
less than their original cost. All returns assume reinvestment of capital
gain distributions and income dividends.
4 Performance for a class includes periods prior to the adoption of class
designations in 1993. Performance reflects up to maximum 4.5% front-end or
5% contingent deferred sales charges. "C" shares, offered without a sales
charge, are available only to certain employee benefit plans and
institutions. Performance for "B" and "D" shares prior to class
designations in 1993 reflects annual 12b-1 fees of .25% and thereafter
reflects annual 12b-1 fees of 1%, which will reduce subsequent performance.
Total net assets: 24.9%
<PAGE>
- -------------------------------------------------------------------------------
FUND INFORMATION (all data are for periods ended September 30, 1995)
- -------------------------------------------------------------------------------
SEC Average Annual Compound Rates of Return
(at maximum applicable sales charge)3,4
<TABLE>
<CAPTION>
Life of Fund
(since 5
12/29/88) years 1 year
- -----------------------------------------------
<S> <C> <C> <C>
Class A +10.40% +11.51% +11.06%
- -----------------------------------------------
Class B +10.86% +11.89% +10.38%
- -----------------------------------------------
Class C +11.24% +12.67% +16.46%
- -----------------------------------------------
Class D +10.86% +12.15% +14.35%
- -----------------------------------------------
</TABLE>
Cumulative Total Returns
(do not reflect sales charge)3
- -----------------------------------------------
Life of Fund
(since 5
12/29/88) years 1 year
- -----------------------------------------------
Class A +104.31% +80.54% +16.30%
- -----------------------------------------------
Class B +100.73% +77.38% +15.38%
- -----------------------------------------------
Class C +105.46% +81.56% +16.46%
- -----------------------------------------------
Class D +100.79% +77.43% +15.35%
- -----------------------------------------------
[PIE CHART HERE]
Asset Allocation
(by percentage of net assets)
NET CASH 4%
EQUITIES 56%
BONDS 29%
INFLATION
RESPONSIVE 11%
[BAR CHART HERE]
Top 5 Equity Industries
(by percentage of net assets)
OIL 7.3%
CHEMICALS 4.5%
METALS & MINING 4.4%
RETAIL 4.4%
ELECTRONIC 4.3%
EQUIPMENT
Total net assets: 24.9%
2
<PAGE>
- -------------------------------------------------------------------------------
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
INVESTMENT PORTFOLIO
- -------------------------------------------------------------------------------
September 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
FIXED INCOME SECURITIES 28.9%
U.S. TREASURY 6.1%
U.S. Treasury Bond, 8.125% $ 2,450,000 8/15/2013 $ 3,604,954
U.S. Treasury Bond, 8.125% 7,075,000 8/15/2021 8,336,331
U.S. Treasury Note, 8.50% 2,475,000 5/15/1997 2,575,931
U.S. Treasury Note, 6.75% 1,675,000 5/31/1999 1,716,356
U.S. Treasury Note, 6.875% 1,150,000 3/31/2000 1,187,915
U.S. Treasury Note, 7.50% 2,925,000 11/15/2001 3,132,499
U.S. Treasury Note, 6.375% 800,000 8/15/2002 811,872
U.S. Treasury Note, 5.75% 2,675,000 8/15/2003 2,602,695
U.S. Treasury Note, 6.25% 1,175,000 8/15/2003 1,181,604
-----------
25,150,157
-----------
U.S. AGENCY MORTGAGE 4.7%
Federal Home Loan Mortgage
Corp., 7.50% 165,807 4/01/2002 167,673
Federal Home Loan Mortgage
Corp., 6.50% 625,225 4/01/2009 616,822
Federal Home Loan Mortgage
Corp., 6.50% 913,207 5/01/2009 900,934
Federal Home Loan Mortgage
Corp., 8.50% 439 7/01/2009 455
Federal Home Loan Mortgage
Corp., 6.50% 213,837 7/01/2009 210,964
Federal Home Loan Mortgage
Corp., 6.50% 425,000 3/25/2023 414,507
Federal Home Loan Mortgage
Corp., 7.00% 1,721,474 6/01/2024 1,698,871
Federal Home Loan Mortgage
Corp., 7.50% 1,384,483 8/01/2024 1,393,995
Federal Home Loan Mortgage
Corp., 8.00% 195,842 8/01/2024 200,371
Federal Home Loan Mortgage
Corp., 7.00% 893,306 12/01/2024 881,577
Federal Home Loan Mortgage
Corp., 8.00% 807,772 6/01/2025 826,448
Federal National Mortgage
Association, 8.00% 327,887 4/01/2008 338,705
Federal National Mortgage
Association, 8.00% 423,270 6/01/2008 437,234
Federal National Mortgage
Association, 8.50% 383,510 2/01/2009 407,656
Federal National Mortgage
Association, 9.00% 87,331 5/01/2009 92,397
Government National Mortgage
Association TBA, 8.00% 1,250,000 10/27/2008 1,284,766
- -------------------------------------------------------------------------------
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- -------------------------------------------------------------------------------
U.S. AGENCY MORTGAGE (CONT'D)
Government National Mortgage
Association, 9.00% $ 531,392 6/15/2016 $ 564,392
Government National Mortgage
Association, 8.00% 2,125,000 10/15/2017 2,184,102
Government National Mortgage
Association TBA, 8.00% 400,000 10/27/2017 411,124
Government National Mortgage
Association, 6.50% 2,235,775 7/15/2024 2,157,523
Government National Mortgage
Association, 7.00% 1,376,438 1/15/2025 1,360,954
Government National Mortgage
Association, 6.50% 1,161,300 9/15/2025 1,148,433
Government National Mortgage
Association TBA, 7.00% 750,000 10/19/2025 741,094
Government National Mortgage
Association TBA, 5.50% 400,000 10/24/2025 395,500
Government National Mortgage
Association TBA, 6.00% 400,000 11/22/2025 400,125
-----------
19,236,622
-----------
TRUST CERTIFICATES 0.4%
Cooperative Utility Trust
Certificates, 10.70% 350,000 9/15/2017 393,208
Cooperative Utility Trust
Certificates, 10.125% 225,000 3/15/2019 251,685
Cooperative Trust Certificates,
10.11% 900,000 12/15/2017 1,001,331
----------
1,646,224
----------
FOREIGN 0.8%
Bell Canada Deb., 13.375% 600,000 10/15/2010 634,920
Carter Holt Harvey Ltd. Deb.,
9.50% 400,000 12/01/2024 491,068
Hydro Quebec Deb., 13.25% 600,000 12/15/2013 736,728
Hydro Quebec Deb., 9.40% 750,000 2/01/2021 896,055
Laidlaw Inc. Deb., 8.75% 400,000 4/15/2025 445,252
Province of Quebec, 7.50% 300,000 7/15/2023 293,532
----------
3,497,555
----------
FOREIGN GOVERNMENT 6.2%
Australian
Dollar
Commonwealth of Australia, 7.50% 7,100,000 7/15/2005 4,987,653
Deutsche
Federal Republic of Germany, Mark
6.625% 3,200,000 7/09/2003 2,244,703
Pound
United Kingdom Treasury Stock, Sterling
8.00% 1,450,000 6/10/2003 2,289,609
Canadian
Dollar
Government of Canada, 9.75% 1,100,000 12/01/2001 908,603
Government of Canada, 7.50% 1,500,000 12/01/2003 1,102,251
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
INVESTMENT PORTFOLIO (cont'd)
- -------------------------------------------------------------------------------
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- -------------------------------------------------------------------------------
FOREIGN GOVERNMENT (cont'd)
Danish Krone
Kingdom of Denmark, 8.00% 40,200,000 3/15/2006 $ 7,194,371
French Franc
Government of France, 7.75% 11,000,000 4/12/2000 2,311,016
Government of France, 7.50% 6,000,000 4/25/2005 1,223,271
Italian Lira
Republic of Italy, 10.00% 2,350,000,000 8/01/2003 1,342,816
Spanish
Peseta
Government of Spain, 11.45% 120,000,000 8/30/1998 993,528
Government of Spain, 11.30% 30,000,000 1/15/2002 247,363
Government of Spain, 10.90% 120,000,000 8/30/2003 984,307
----------
25,829,491
----------
CORPORATE 7.6%
Acme Boot, Inc. Sr. Notes, 11.50% $ 250,000 12/15/2000 105,000
Affinity Group, Inc. Sr. Sub.
Deb., 11.50% 250,000 10/15/2003 251,250
Allied Waste Industries, Inc. Sr.
Sub. Notes, 12.00% 250,000 2/01/2004 263,750
Algoma Steel Inc. First Mortgage
Notes, 12.375% 250,000 7/15/2005 228,750
American Telecasting, Inc. Sr.
Sub. Units, 0.00% to
6/14/99, 12.50% from 6/15/99 to
maturity 268,947 6/15/2004 158,679
Amerisource Distribution Corp.
Sr. Deb., 11.25% (diamond bullet) 146,710 7/15/2005 157,713
Anacomp, Inc. Cv. Deb., 13.875%(Square bullet)
395,000 1/15/2002 171,906
Anacomp International N.V. Cv.
Sub. Deb., 9.00% 250,000 1/15/1996 107,500
Axia Holdings Corp. Sr. Sub.
Note, 11.00% 250,000 3/15/2001 235,000
Bayou Steel Corp. First Mortgage
Note, 10.25% 500,000 3/01/2001 473,750
Bell & Howell Co. Series B Sr.
Disc. Deb., 0.00% to
2/28/2000, 11.50% from 3/1/2000
to maturity 250,000 3/01/2005 155,000
Belle Casinos, Inc. First
Mortgage Note, 12.00% + (square bullet)
125,000 10/15/2000 50,000
Boomtown, Inc. First Mortgage
Note, 11.50% 500,000 11/01/2003 457,500
CAI Wireless Systems, Inc. Sr.
Disc. Note, 12.25% 250,000 9/15/2002 259,375
- -------------------------------------------------------------------------------
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- -------------------------------------------------------------------------------
CORPORATE (cont'd)
CHC Helicopter Corp. Sr. Sub.
Note, 11.50% $ 400,000 7/15/2002 $ 350,000
Carrols Corp. Sr. Notes, 11.50% 250,000 8/15/2003 247,500
Celcaribe S.A. Units, 0.00% to
3/14/98, 13.50% from 3/15/98 to
maturity(dagger) 183,000 3/15/2004 1,619,550
Central Rents, Inc. Sr. Notes,
12.875% 250,000 12/15/2003 250,000
Chatwins Group Inc. Sr. Exch.
Note, 13.00% 500,000 5/01/2003 422,500
Chevron Corp. Note, 8.11% 750,000 12/01/2004 807,660
Columbia/HCA Healthcare Corp.
Note, 6.87% 525,000 9/15/2003 521,897
Computervision Corp. Sr. Sub.
Notes, 11.375% 250,000 8/15/1999 255,000
Consolidated Hydro Inc. Sr. Disc.
Notes, 0.00% to 1/14/99, 12.00%
from 1/15/99 to maturity 500,000 7/15/2003 288,230
Crown Packaging Holdings Ltd.,
0.00% to 10/31/2000, 12.25%
from 11/1/2000 to maturity 1,250,000 11/01/2003 571,875
Doskocil Companies Inc. Sr. Sub.
Red. Notes, 9.75% 250,000 7/15/2000 245,625
Dual Drilling Co. Sr. Sub. Notes,
9.875% 250,000 1/15/2004 233,125
Electronic Data Systems Corp.
Note, 6.85%+ 800,000 5/15/2000 810,880
Empire Gas Corp. Sr. Sec. Notes,
7.00% to 7/14/99, 12.875% from
7/15/99 to maturity 250,000 7/15/2004 206,250
Equitable Bag Co. Inc. Sr. Notes,
11.00%(square bullet) 238,000 12/16/2004 116,620
Finlay Enterprises, Inc. Sr.
Disc. Deb. 0.00% to 4/30/98,
12.00% from 5/1/98 to maturity 1,000,000 5/01/2005 690,000
Finlay Fine Jewelry Corp. Sr.
Note, 10.625% 250,000 5/01/2003 247,500
Fitzgeralds Gaming Corp. Sr. Sec.
Units, 13.75% to 6/14/95,
14.00% from 6/15/95 to 9/14/95,
14.25% from 9/15/95
to 12/14/95, 14.50% to
maturity+ 250,000 3/15/1996 187,500
The accompanying notes are an integral part of the financial statements.
4
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- -------------------------------------------------------------------------------
CORPORATE (cont'd)
General Media Inc. Sr. Sec. Note,
10.625% $ 250,000 12/31/2000 $197,500
General Medical Corp. Sub. Deb.,
12.125% (diamond bullet) 312,344 8/15/2005 324,838
Great Bay Property Funding Corp.
First Mortgage Notes, 10.875% 250,000 1/15/2004 210,625
Goldriver Hotel & Casino Corp.
Mortgage Notes, 13.375% (square bullet) 317,000 8/31/1999 174,350
Grand Union Co. Sr. Sub. Notes,
12.00% (square bullet) 250,000 9/01/2004 240,000
Granite Broadcasting Corp. Sr.
Sub. Deb., 12.75% 500,000 9/01/2002 556,250
HWCC-Tunica, Inc. First Mortgage
Note, 13.50%+ 250,000 9/30/1998 302,500
Harrah's Jazz First Mortgage
Notes, 14.25% 250,000 11/15/2001 233,750
Harvard Industries, Inc. Sr.
Notes, 12.00% 250,000 7/15/2004 260,625
Haynes International Inc. Sr.
Sec. Notes, 11.25% 500,000 6/15/1998 475,000
Haynes International Inc. Sr.
Sub. Notes, 13.50% 250,000 8/15/1999 175,000
Heartland Wireless
Communications, Inc. Units,
13.00%+ 250,000 4/15/2003 267,500
Horsehead Industries, Inc. Sub.
Note, 14.00% 750,000 6/01/1999 765,000
ICF Kaiser International, Inc.
Sr. Sub. Notes, 12.00% 250,000 12/31/2003 231,875
K&F Industries Inc. Sr. Sub.
Deb., 13.75% 500,000 8/01/2001 518,750
IntelCom Group, Inc. Sr. Disc.
Units, 0.00% to 9/14/2000,
13.50% from 9/15/2000 to
maturity+ 5,000 9/15/2005 276,250
Ithaca Industries, Inc. Sr. Sub.
Notes, 11.125% 350,000 12/15/2002 332,500
Mail-Well Holdings, Inc. Sr.
Notes, 0.00% to 2/14/2000,
11.75% from 2/15/2000 to
maturity 1,000,000 2/15/2006 650,000
Marcus Cable Operating Co. L.P.
Sr. Disc. Note, 0.00% to
7/31/99, 13.50% from 8/1/99 to
maturity 750,000 8/01/2004 510,000
Merrill Lynch & Co., Inc. Equity
Partnership, 0.00% 1,015,000 1/31/2000 923,650
- -------------------------------------------------------------------------------
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- -------------------------------------------------------------------------------
CORPORATE (cont'd)
Miles Home Services, Inc. Sr.
Notes, 12.00% $ 250,000 4/01/2001 $ 190,000
Mothers Work, Inc. Sr. Note,
12.625%+ 250,000 8/01/2005 245,000
Moran Energy International, Inc.
Cv. Sub. Deb., 8.00% 250,000 11/01/1995 248,125
Motels of America, Inc. Sr. Sub.
Notes, 12.00% 500,000 4/15/2004 505,000
PageMart, Inc. Sr. Disc. Note,
0.00% to 10/31/98, 12.25% from
11/1/98 to maturity 500,000 11/01/2003 340,000
Penda Industries, Inc. Sr. Notes,
10.75% 250,000 3/01/2004 212,500
Pioneer Americas Acquisition
Corp. Sr. Notes, 13.375%+ 250,000 4/01/2005 253,750
Presidio Oil Co. Sr. Sec. Notes,
11.50% (square bullet) 500,000 9/15/2000 482,500
Presidio Oil Co. Sr. Sub. Gas
Indexed Notes, 13.30% (square bullet) 200,000 7/15/2002 160,000
ProNet, Inc. Sr. Sub. Notes,
11.875%+ 250,000 6/15/2005 265,000
Protection One Alarm Monitoring,
Inc. Units, 0.00% to 6/29/98,
13.375% from 6/30/98 to
maturity+ 250,000 6/30/2005 167,500
P.T. Indah Kiat Pulp & Paper
Note, 12.50% 250,000 6/15/2006 258,750
Ralphs Grocery Co. Sr. Note,
10.45% 500,000 6/15/2004 488,750
Ralphs Grocery Co. Sr. Sub.
Notes, 11.00% 250,000 6/15/2005 233,750
Resorts International, Inc.
Notes, 11.00% 250,000 9/15/2003 227,500
Sahara Finance Corp. Notes,
12.125% 247,096 8/31/1996 258,216
Sam Houston Race Park Ltd. Sr.
Sec. Note, 11.75% (square bullet) 250,000 7/15/1999 62,500
Sappi BVI Finance Ltd. Cv. Note,
7.50%+ 1,600,000 8/12/2002 1,666,000
Seven-Up/RC Bottling Co. of
Southern California, Inc.
Notes, 11.50% 750,000 8/01/1999 322,500
Sheffield Steel Corp. First
Mortgage Notes, 12.00% 250,000 11/01/2001 228,750
Specialty Foods Corp. Sr. Note,
11.125%+ 250,000 10/01/2002 245,000
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
INVESTMENT PORTFOLIO (cont'd)
- -------------------------------------------------------------------------------
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- -------------------------------------------------------------------------------
CORPORATE (cont'd)
Talley Manufacturing and
Technology, Inc. Sr.
Note, 10.75% $ 250,000 10/15/2003 $ 252,500
Telewest Communications PLC Sr.
Deb., 9.625% 500,000 10/01/2006 501,250
Thermoscan, Inc. Sr. Sub. Note,
11.50%+ 500,000 8/15/2001 515,000
Total Renal Care, Inc. Sr. Sub.
Disc. Units, 0.00% to 8/14/97,
12.00% from 8/15/97 to maturity 500,000 8/15/2004 440,000
Trans Ocean Container Corp. Sr.
Sub. Notes, 12.25% 250,000 7/01/2004 255,000
Treasure Bay Gaming and Resorts,
Inc. First Mortgage Units,
12.25%+ (square bullet) 250,000 11/15/2000 50,000
UCAR Global Enterprises, Inc. Sr.
Sub. Notes, 12.00% 135,000 1/15/2005 150,525
Universal Outdoor Holdings, Inc.
Units, 0.00% to 6/30/99, 14.00%
from 7/1/99 to maturity 1,000,000 7/01/2004 625,000
U.S.A. Mobile Communications,
Inc. Sr. Notes, 9.50% 500,000 2/01/2004 465,000
U.S.A. Mobile Communications,
Inc. Sr. Notes, 14.00% 250,000 11/01/2004 286,250
Waxman Industries, Inc. Sr. Sec.
Notes, 12.25% 500,000 9/01/1998 475,000
Waxman Industries, Inc. Sr. Sec.
Notes, 0.00% to
5/31/99, 12.75% from
6/1/99 to maturity 928,000 6/01/2004 361,920
Wilrig A.S. Sr. Sec. Notes,
11.25% 750,000 3/15/2004 810,000
Wyman-Gordon Co. Sr. Notes,
10.75% 250,000 3/15/2003 255,000
----------
31,276,384
----------
- -------------------------------------------------------------------------------
PRINCIPAL MATURITY VALUE
AMOUNT DATE (NOTE 1)
- -------------------------------------------------------------------------------
FINANCE/MORTGAGE 3.1%
American General Finance Corp.
Notes, 8.00% $ 600,000 2/15/2000 $ 631,872
American Southwest Financial
Services Corp., 8.00% 534,671 8/25/2010 545,031
Beneficial Corp. Note, 9.125% 425,000 2/15/1998 451,614
Beneficial Corp. Note, 8.17% 200,000 11/09/1999 211,308
Caterpillar Financial Services
Co. Note, 6.03% 200,000 11/16/1995 199,956
Countrywide Mortgage Series
1994-2 Class A-7, 6.50% 650,000 3/25/2008 647,764
Countrywide Mortgage Series
1993-E Class A-1, 6.50% 472,803 1/25/2024 472,212
First Chicago Credit Master Trust
Series 1991-D, 8.40% 350,000 6/15/1998 354,813
Fleet Mortgage Group, Inc. Note,
7.06% 1,000,000 7/26/2002 1,013,710
Ford Motor Credit Co. Notes,
6.50% 1,100,000 8/15/2002 1,103,437
General Electric Capital Corp.
Note, 7.625% 1,000,000 7/24/1996 1,013,320
General Motors Acceptance Corp.,
7.85% 675,000 11/17/1997 694,751
General Motors Acceptance Corp.,
8.625% 1,000,000 6/15/1999 1,065,270
MBNA America Bank Note, 7.61% 400,000 11/15/2001 421,656
Prudential Home Mortgage Series
93-29 A-6, 6.75% 1,384,951 8/25/2008 1,382,777
Prudential Home Mortgage Series
93-54 A-21, 5.50% 425,000 1/25/2024 409,989
Residential Funding Corp. Series
93-S25 A-1, 6.50% 239,251 7/25/2008 238,428
Sears Roebuck & Co. Master Trust
Series 95-2, 8.10% 650,000 6/15/2004 689,000
Standard Credit Card Master Trust
Series 1993-3A, 5.50% 950,000 2/07/2000 927,437
Tandy Master Trust Series 1991-A,
8.25% 166,175 4/15/1999 166,694
----------
12,641,039
----------
Total Fixed Income Securities (Cost $118,534,683) 119,277,472
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
<S> <C> <C>
EQUITY SECURITIES 55.5%
BASIC INDUSTRIES 10.2%
CHEMICAL 4.0%
Atlantic Richfield Co. 66,900 $ 1,705,950
Cookson Group PLC* 304,000 1,361,732
Cambrex Corp. 7,400 297,850
Daicel Chemical Industries, Inc.* 160,000 920,701
E.I. duPont de Nemours & Co. 7,300 501,875
FMC Corp.* 19,700 1,497,200
Mallinckrodt Group, Inc. 6,100 241,712
Monsanto Co.* 27,700 2,790,775
Potash Corp. of Saskatchewan, Inc. 15,100 939,975
Rohm & Haas Co. 77,400 4,673,025
Seagram Ltd. 40,000 1,435,000
-----------
16,365,795
----------
DIVERSIFIED 1.1%
Axia Holdings Corp.*+ 750 22,500
Coltec Industries, Inc.* 11,100 133,200
Hoya Corp* 57,000 1,680,279
Johnson Controls, Inc. 20,500 1,296,625
Mark IV Industries, Inc. 35,105 781,086
Nippon Electric Glass Co., Ltd.* 40,000 759,174
PST Holdings, Inc.* 7,500 7,500
U.S. Industries, Inc.* 1,425 22,088
---------
4,702,452
---------
ELECTRICAL EQUIPMENT 0.2%
Philips Electronics NV 17,300 843,375
---------
FOREST PRODUCT 0.6%
Boise Cascade Corp. 8,100 327,038
Bowater, Inc. 5,000 233,125
Champion International Corp. 8,900 479,487
Crown Packaging Holdings Ltd. Wts.*+ 3,750 72,188
Crown Vantage, Inc.* 1,090 24,252
Equitable Bag, Inc. Cl.A* 22,619 1,131
International Paper Co. 7,400 310,800
Mail-Well Holdings, Inc.*+ 5,000 215,000
S.D. Warren Co. Series B Sr. Exch. Pfd.|BK 18,000 540,000
SDW Holdings Corp. Wts.*+ 18,000 126,000
Westvaco Corp. 6,800 310,250
---------
2,639,271
---------
MACHINERY 2.8%
CBI Industries, Inc. 56,700 1,346,625
Caterpillar Inc. 24,400 1,387,750
Chatwins Group, Inc. Wts.* 500 250
Cincinnati Milacron Inc. 38,100 1,200,150
- -------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
MACHINERY (cont'd)
Elsag Bailey Process Automation NV 34,900 $ 1,138,613
Fluor Corp. 35,000 1,960,000
Harsco Corp. 2,700 150,187
Kajima Corp.* 126,000 1,241,491
Millipore Corp. 47,600 1,785,000
Specialty Equipment Companies, Inc.* 2,000 24,500
Sundstrand Corp. 21,200 1,372,700
Terex Corp. Rts. 750 375
---------
11,607,641
---------
METAL & MINING 1.5%
Algoma Finance Corp. Pfd.* 949 4,413
Alumax, Inc.* 29,900 1,009,125
Bohler Uddeholm 12,000 857,526
Geneva Steel Co. Wts.*+ 7,075 24,762
Geneva Steel Co. Series B Exch. Pfd.* 2,500 192,500
RTZ Corp.* 51,500 750,652
Reynold Metals Co. 18,700 1,079,925
SGL Carbon AG* 25,700 1,663,576
Sheffield Steel Corp. Wts.* 1,250 3,750
Stelco, Inc. Series C Cv. Pfd. 6,400 107,322
Timken Co. 12,200 520,025
---------
6,213,576
---------
Total Basic Industries 42,372,110
---------
CONSUMER CYCLICAL 11.8%
AIRLINE 0.1%
CHC Helicopter Corp. Wts.* 2,000 2,000
Midwest Express Holdings, Inc.* 10,600 238,500
---------
240,500
---------
AUTOMOTIVE 1.9%
Douglas & Lomason Co. 12,200 149,450
Exide Corp. 11,000 550,000
Federal-Mogul Corp. 48,500 927,562
Ford Motor Co. 18,600 578,925
General Motors Corp. 19,400 909,375
Harvard Industries, Inc. Cl. B* 1,000 26,750
Harvard Industries, Inc. 14.25% Exch. Pfd.|BK 10,095 256,164
Lear Seating Corp.* 123,100 3,616,063
Michelin CI.B* 18,000 789,156
---------
7,803,445
---------
BUILDING 0.3%
Fleetwood Enterprises Inc. 22,200 441,225
Lafarge Corp. 7,400 135,975
Miles Homes Services, Inc. Wts.* 3,000 750
Owens-Corning Fiberglas Corp.* 11,800 526,575
Waxman Industries, Inc. Wts.*+ 29,500 3,687
---------
1,108,212
----------
The accompanying notes are an intergral part of the financial statements.
7
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
INVESTMENT PORTFOLIO (cont'd)
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
HOTEL & RESTAURANT 2.1%
Au Bon Pain Company, Inc.* 19,700 $ 152,675
Darden Restaurants, Inc.* 25,800 296,700
Harrahs Entertainment, Inc.* 96,200 2,813,850
Main Street and Main, Inc.* 33,600 147,000
Mirage Resorts, Inc.* 84,950 2,792,731
Motels of America, Inc.+ 500 37,500
Outback Steakhouse, Inc.* 12,200 375,150
Primadonna Resorts, Inc.* 35,200 536,800
Promus Hotel Corp.* 32,100 730,275
Red Lion Hotels, Inc.* 7,000 147,000
Station Casinos, Inc.* 37,200 571,950
Studio Plus Hotels, Inc.* 8,700 200,100
---------
8,801,731
---------
RECREATION 2.5%
American Telecasting, Inc. Wts.* 1,250 1,250
Boomtown, Inc. Wts.* 500 250
Brunswick Corp. 8,800 178,200
Comcast Corp. Cl. A 57,800 1,148,775
Comcast Corp. Cl. A Special 50,700 1,014,000
Walt Disney Co. 20,900 1,199,138
Emmis Broadcasting Corp. Cl. A* 7,300 229,038
Fitzgerald Gaming Corp. Wts.*+ 750 7,500
Gaylord Entertainment Co. Cl. A 12,285 333,231
Goldriver Hotel & Casino Corp. Cl. B* 20,000 2,500
Goldriver Hotel & Casino Corp. Liquidation Trust
Units*++ 500,000 6,350
Hollywood Entertainment Corp.* 30,900 662,419
Infinity Broadcasting Corp. Cl. A* 11,937 390,937
Lewis Galoob Toys Inc. Cv. Pfd.* 40,000 735,000
Pyramid Communications, Inc. Cl. B*+ 700 35,005
Pyramid Communications, Inc. Series C Exch. Pfd.*+ 23,303 594,234
Renaissance Communications Corp.* 16,900 591,500
Sodak Gaming, Inc.* 10,400 215,800
Taj Mahal Holdings Corp. Cl. A* 3,821 47,763
Time Warner Financing Trust 19,200 624,000
Viacom, Inc. Cl. B* 50,200 2,497,450
---------
10,514,340
---------
RETAIL TRADE 4.4%
Central Rents, Inc. Wts.* 250 10,000
Department 56, Inc.* 15,800 738,650
Home Depot, Inc. 79,700 3,178,037
Federated Department Stores, Inc.* 56,700 1,608,862
Finlay Enterprises, Inc. Cl. A* 1,333 22,994
Food 4 Less Holdings, Inc. Wts.*++ 584 61,992
Grand Union Co.* 16,837 218,881
- -------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
RETAIL TRADE (CONT'D)
Gymboree Corp.* 27,800 $ 837,475
May Department Stores Co. 16,600 726,250
J.C. Penney, Inc. 11,700 580,613
Sports Authority 8,500 234,813
Stop & Shop Companies, Inc.* 37,300 871,888
Supermarkets General Holding Corp.
Exch. Pfd.* 18,200 523,250
Tandy Corp. 67,700 4,112,775
Tiffany & Co. 14,600 611,375
Viking Office Products, Inc.* 12,600 526,050
Vons Companies, Inc.* 4,000 95,000
Woolworth Corp. 198,200 3,121,650
---------
18,080,555
---------
TEXTILE & APPAREL 0.5%
Acme Boot Co.+ 250 250
Authentic Fitness Corp.* 39,600 891,000
Norton McNaughton, Inc.* 21,000 467,250
Warnaco Group, Inc. Cl. A 27,900 669,600
---------
2,028,100
---------
Total Consumer Cyclical 48,576,883
---------
CONSUMER STAPLE 7.4%
BUSINESS SERVICE 1.1%
ADI Corp. GDR*+ 23,700 417,831
Computer Horizons Corp.* 19,400 388,000
Eltron International, Inc.* 19,600 553,700
Global Directmail Corp.* 32,900 810,162
ICF Kaiser International, Inc. Wts.* 1,200 900
Integrated System, Inc.* 9,900 388,575
La Petite Holdings Corp. Red. Exch. Pfd.* 22,000 484,000
PageMart, Inc. Wts.*+ 2,300 14,088
Personnel Group of America, Inc.* 38,200 534,800
Premenos Technologies Corp.* 7,700 250,250
Syncronys Softcorp 18,600 279,000
3D Systems Corp. 27,100 453,925
Universal Outdoor Holdings, Inc. Wts.* 1,000 40,000
Vestar/LPA Investment Corp.*+ 1,375 20,625
---------
4,635,856
---------
CONTAINER 0.2%
Ball Corp. 24,300 719,887
Owens-Illinois, Inc. 24,800 313,100
---------
1,032,987
---------
DRUG 1.6%
Arris Pharmaceutical Corp.* 25,700 334,100
Cyto Therapeutic, Inc.* 19,900 194,025
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
DRUG (Cont'd)
Merck & Company, Inc. 81,500 $ 4,564,000
Schering AG 7,000 516,305
Yamanouchi Pharmaceutical Co. 40,000 864,167
---------
6,472,597
---------
FOOD & BEVERAGE 1.2%
Coca-Cola Enterprises, Inc. 62,700 1,543,988
Dr. Pepper Bottling Co. Cl. A* 56,000 196,000
LVMH Moet Hennessy Louis Vuitton* 4,400 830,054
PepsiCo, Inc. 42,400 2,162,400
Whitman Corp. 15,700 323,812
---------
5,056,254
---------
HOSPITAL SUPPLY 2.0%
American Home Patient, Inc.* 18,000 459,000
American Medical Response, Inc.* 17,900 507,913
Community Care of America, Inc.* 32,900 456,488
Community Health Systems, Inc. 16,900 682,337
Grancare, Inc.* 16,500 286,687
Healthcare Compare Corp.* 24,400 945,500
Healthsource Inc.* 9,900 476,438
I-Stat Corp.* 10,600 394,850
Integrated Health Services, Inc.* 22,100 624,325
Lincare Holdings, Inc.* 10,600 272,950
Mariner Health Group, Inc.* 42,600 601,725
Maxicare Health Plans, Inc.* 27,800 517,775
Multicare Companies, Inc.* 10,400 241,800
Roche Holdings AG 125 882,353
Rotech Medical Corp.*. 20,100 499,987
Thermoscan Inc. Cl. B* 25,250 404,000
Total Renal Care, Inc.* 4,500 34,875
---------
8,289,003
---------
PERSONAL CARE 0.5%
Procter & Gamble Co. 24,900 1,917,300
U.S.A. Detergents, Inc.* 7,100 147,325
---------
2,064,625
---------
PRINTING & PUBLISHING 0.8%
American Greetings Corp. 27,700 844,850
Dimac Corp.* 2,774 51,666
General Media Inc. Wts.*+ 500 5,000
K-III Communications Corp. Series B Exch. Pfd.|BK 4,567 447,637
News Corp. Ltd. ADR 77,000 1,694,000
Sullivan Holdings, Inc.* 148 53,467
---------
3,096,620
---------
Total Consumer Staple 30,647,942
---------
ENERGY 3.2%
OIL 2.9%
Ashland Oil, Inc. 9,700 $ 323,738
Exxon Corp. 50,000 3,612,500
Imperial Oil Ltd. 25,700 957,325
Louisiana Land & Exploration Co.+++ 48,800 1,738,500
Lyondell Petrochemical Co. 3,100 80,212
Oryx Energy Co. 33,700 438,100
Phillips Petroleum Co. 26,300 854,750
Repsol SA 33,000 1,037,090
Swift Energy Co.*+++ 100,760 919,435
Tosco Corp. 36,300 1,252,350
Total S.A. 12,909 781,172
Ultramar Corp. 2,900 68,875
---------
12,064,047
---------
OIL SERVICE 0.3%
Coflexip ADR* 19,900 305,963
Coflexip 24,763 724,108
---------
1,030,071
---------
Total Energy 13,094,118
---------
FINANCE 5.7%
BANK 2.4%
Banco Industrial Colombiano ADR. 106,500 1,451,062
BankAmerica Corp. 19,900 1,191,513
Chase Manhattan Corp. 21,200 1,295,850
Citicorp* 46,300 3,275,725
Mellon Bank Corp. 6,500 290,062
Riverbank American Non-cum. Pfd. 20,000 460,000
Sparbanken Sverige AB+. 74,000 721,133
West One Bancorp 27,700 1,111,463
---------
9,796,808
---------
FINANCIAL SERVICE 0.9%
BancTec, Inc.* 13,500 290,250
Federal Home Loan Mortgage Corp. 25,500 1,762,687
Federal National Mortgage Association 7,500 776,250
Money Store, Inc. 14,850 703,519
United Companies Financial Corp. 5,460 372,645
---------
3,905,351
---------
INSURANCE 2.4%
Ace Ltd.* 47,300 1,625,938
AMBAC, Inc. 17,800 783,200
American Re Corp.* 32,300 1,243,550
Chubb Corp. 1,800 172,800
Equitable Companies, Inc. 64,700 1,585,150
Mid Ocean Ltd.*. 33,800 1,166,100
Mutual Risk Management Ltd. 16,100 635,950
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
INVESTMENT PORTFOLIO (cont'd)
- -------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
INSURANCE (cont'd)
NAC Re Corp. 11,400 $ 413,250
National Re Corp. 15,400 544,775
Progressive Corp. of Ohio 4,900 219,275
Safeco Corp. 23,400 1,535,625
---------
9,925,613
---------
Total Finance 23,627,772
---------
SCIENCE & TECHNOLOGY 14.5%
AEROSPACE 1.5%
Boeing Co. 68,600 4,681,950
Honeywell, Inc. 14,700 630,263
Ladish Company, Inc.* 52,000 15,600
Sequa Corp.* 30,000 802,500
---------
6,130,313
---------
COMPUTER SOFTWARE & SERVICE 4.3%
Avid Technology, Inc.* 18,300 786,900
Cheyenne Software, Inc.* 38,700 774,000
Cisco Systems, Inc.* 49,500 3,415,500
Computervision Corp.* 353,100 4,281,338
Datastream Systems, Inc.* 13,800 313,950
General Motors Corp. Cl. E 20,200 919,100
Hyperion Software Corp.* 12,500 709,375
Intersolv, Inc.* 51,700 1,040,462
Mattson Technologies, Inc.* 8,100 344,250
On Technologies Corp.* 27,500 481,250
SAP AG ADR+ 34,300 1,882,213
Shiva Corp.* 2,400 147,000
Simware, Inc.* 6,700 67,000
Softkey International, Inc.* 37,600 1,663,800
Spectrum Holobyte, Inc.* 23,100 291,637
Western Digital Corp.* 44,800 711,200
---------
17,828,975
---------
ELECTRONIC COMPONENTS 2.2%
AMP, Inc. 20,000 770,000
BBC Brown Boveri AG* 775 897,686
C.P. Clare Corp.* 13,200 336,600
Cyrix Corp.* 15,000 571,875
Dovatron International, Inc.* 7,000 242,375
L.M. Ericsson Telephone Co. Cl. B* 88,000 2,172,494
Thomas & Betts Corp. 9,700 626,863
Trident Microsystems, Inc.* 16,500 358,875
U.S. Order, Inc.* 31,300 579,050
VLSI Technology, Inc.* 69,200 2,370,100
---------
8,925,918
---------
ELECTRONIC EQUIPMENT 4.3%
Applied Materials, Inc.* 22,900 $ 2,341,525
Electroglas, Inc.* 9,700 660,812
L.M. Ericsson Telephone Co. Cl. B ADR* 99,800 2,445,100
Itron, Inc.* 16,600 460,650
Nokia Corp.* 38,400 2,693,729
Perkin-Elmer Corp. 152,600 5,436,375
Tekelec, Inc.* 27,700 623,250
Tektronix, Inc. 29,400 1,734,600
Tencor Instruments Inc.* 15,400 681,450
Tokyo Electronics Ltd. 22,000 957,242
---------
18,034,733
---------
OFFICE EQUIPMENT 2.2%
Broadway & Seymour, Inc.* 21,200 530,000
Diebold, Inc. 3,500 162,312
Filenet Corp.* 10,800 477,900
International Business Machines Corp. 34,500 3,255,938
SCI Systems, Inc.* 16,900 583,050
Sequent Computer Systems, Inc. 20,700 411,412
Xerox Corp. 26,000 3,493,750
---------
8,914,362
---------
Total Science & Technology 59,834,301
---------
UTILITY 2.7%
NATURAL GAS 0.9%
Broken Hill Proprietary Ltd. ADR 18,000 985,500
Broken Hill Proprietary Ltd. 74.800 1,031,100
Coastal Corp. 46,500 1,563,563
---------
3,580,163
---------
TELEPHONE 1.8%
Air Touch Communications, Inc.* 63,800 1,953,875
Allen Group, Inc. 15,000 543,750
NTT Corp.* 102 878,361
Southern New England Telecom Corp. 20,400 721,650
Sprint Corp.* 21,400 762,375
Telecom Italia Mobile SPA* 925,000 1,021,085
Tele Danmark AS Cl. B ADR 9,750 503,946
Tel-Save Holdings, Inc.* 16,000 246,000
Vodafone Group PLC 200,000 837,415
---------
7,468,457
---------
Total Utility 11,048,620
---------
Total Equity Securities (Cost $190,861,182) 229,201,746
---------
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
EQUITY SECURITIES--INFLATION RESPONSIVE
INVESTMENTS 11.0%
BASIC INDUSTRIES 3.6%
CHEMICAL 0.5%
Agrium, Inc.* 40,000 $ 1,460,000
Arcadian Corp.* 23,800 484,925
Mississippi Chemical Corp. 8,200 172,200
---------
2,117,125
---------
FOREST PRODUCT 0.2%
St. Laurent Paperboard, Inc.*@ 45,000 686,333
---------
METAL & MINING 2.9%
Aber Resources Ltd.* 60,000 429,375
Birmingham Steel Co. 30,000 525,000
Coeur d'Alene Mines Corp. 20,000 405,000
Crown Resources Corp.* 125,000 640,625
Cyprus Amax Minerals Co.@ 102,600 2,885,625
Dia Met Minerals Ltd. Cl. A* 2,000 16,926
Dia Met Minerals Ltd. Cl. B* 20,000 189,718
Echo Bay Mines Ltd. 50,000 543,750
Freeport-McMoRan Copper & Gold, Inc.* 35,086 899,079
Freeport-McMoRan, Inc. 50,000 281,250
Gibralter Mines Ltd. 30,000 178,557
Great Lakes Minerals, Inc.* 250,000 186,000
Kinross Gold Corp.* 75,000 637,500
Magma Copper Co. Cl. B* 100,000 1,875,000
Novicourt, Inc.* 50,000 204,598
Nucor Corp. 10,000 447,500
Rio Algom Ltd. 40,000 800,000
Santa Fe Pacific Gold Corp.* 20,000 252,500
Southernera Resources Ltd.* 100,000 252,957
TVX Gold, Inc.* 70,000 490,000
---------
12,140,960
---------
Total Basic Industries 14,944,418
---------
CONSUMER CYCLICAL 0.1%
BUILDING 0.1%
Giant Cement Holdings, Inc.* 50,000 606,250
---------
Total Consumer Cyclical 606,250
---------
ENERGY 5.7%
OIL 4.4%
Abacan Resource Corp.*@ 305,900 773,797
Basin Exploration, Inc.* 20,000 105,000
Box Energy Corp. Cl. B* 12,500 123,438
Tom Brown Inc.*@ 73,100 995,987
- -------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------
OIL (cont'd)
CS Resources Ltd.* 100,000 $ 669,593
Coda Energy, Inc.* 15,100 112,306
Crystal Oil Co.* 10,000 297,500
Discovery West Corp.* 50,000 154,378
Enserch Exploration, Inc. 3,700 38,850
Forest Oil Corp.* 60,000 150,000
Garnet Resources Corp.* 25,000 53,125
Gerrity Oil & Gas Corp.* 70,000 218,750
Global Natural Resources, Inc.*@ 186,200 1,838,725
Intensity Resources Ltd.* 161,300 378,019
Inverness Petroleum Ltd.* 30,000 133,920
Morgan Hydrocarbons, Inc.* 250,000 781,192
Nuevo Energy Co.*@ 53,200 1,197,000
Optima Petroleum Corp.* 43,100 123,912
Phoenix Resource Cos., Inc.* 120,000 4,650,000
Plains Resources Inc.*@ 128,500 1,019,969
Ranger Oil Ltd.*@ 316,600 1,899,600
Summit Resources Ltd. 50,000 455,695
Tatham Offshore, Inc.* 20,000 42,500
Tipperary Corp. 15,300 70,762
Ulster Petroleum Ltd. 178,000 662,153
United Meridian Corp.* 27,000 462,375
Wascana Energy, Inc.* 50,000 451,045
Clayton Williams Energy, Inc. 41,498 111,526
---------
17,971,117
---------
Oil Service 1.3%
BJ Services Co.* 8,000 202,000
Energy Ventures, Inc.* 55,900 1,299,675
Grant Geophysical, Inc.* 30,000 63,750
Landmark Graphics Corp.*@ 32,300 910,456
Nabors Industries, Inc.* 64,800 611,550
Noble Drilling Corp.* 160,500 1,243,875
Nowsco Well Service Ltd. 55,000 632,500
Scientific Software-Intercomp Inc.* 40,000 125,000
Tuboscope Vetco International Corp.* 50,000 293,750
---------
5,382,556
---------
Total Energy 23,353,673
---------
UTILITY 1.6%
NATURAL GAS 1.6%
ENSERCH Corp.@ 195,800 3,230,700
TransTexas Gas Corp.*@ 183,200 3,320,500
---------
6,551,200
---------
Total Utility 6,551,200
---------
Total Equity Securities--Inflation Responsive
Investments (Cost $40,248,453) 45,455,541
---------
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
INVESTMENT PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Principal Maturity Value
Amount Date (Note 1)
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Cash Equivalents 5.0%
General Electric Capital Corp., 5.72% $13,429,000 10/3/1995 $ 13,429,000
Wal-Mart Stores, Inc., 6.35% 7,361,000 10/2/1995 7,359,702
----------
Total Cash Equivalents (Cost $20,788,702) 20,788,702
----------
Total Investments (Cost $370,433,020)--100.4% 414,723,461
Cash and Other Assets, Less Liabilities--(0.4)% (1,454,396)
----------
Net Assets--100.0% $413,269,065
==========
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Federal Income Tax Information:
At September 30, 1995, the net unrealized
appreciation of investments based on cost
for Federal income tax purposes of
$371,016,229 was as follows:
Aggregate gross unrealized appreciation for
all investments in which there is an
excess of value over tax cost $ 56,236,967
Aggregate gross unrealized depreciation for
all investments in which there is an
excess of tax cost over value (12,529,735)
-----------
$ 43,707,232
===========
</TABLE>
ADR and GDR stand for American Depositary Receipt and Global Depositary Receipt,
representing ownership of foreign securities.
*Nonincome-producing securities.
(diamond bullet) Payments of income may be made in cash or in the form of
additional securities.
(square bullet) Security is in default.
++Security valued under consistently applied procedures established by the
Trustees. Security restricted as to public resale. The total cost and market
value of restricted securities owned at September 30, 1995 were $4,762 and
$68,342 (0.02% of net assets), respectively.
+Security restricted in accordance with Rule 144A under the Securities Act of
1933, which allows for the resale of such securities among certain qualified
institutional buyers. The total cost and market value of Rule 144A securities
owned at September 30, 1995 were $10,514,838 and $11,120,946 (2.69% of net
assets), respectively.
+++15,000 shares of Louisiana Land & Exploration Co., and 34,760 of Swift Energy
Co., are considered by the Adviser to be part of Inflation Responsive
Investments.
@71,000 shares of Abacan Resource Corp., 14,300 shares of Tom Brown, Inc.,
42,600 shares of Cyprus Amax Minerals Co., 21,200 shares of Global Natural
Resources, Inc., 14,100 of Landmark Graphics Corp., 22,000 shares of Nuevo
Energy Co., 95,800 shares of ENSERCH Corp., 23,700 shares of Plains Resources,
Inc., 66,600 shares of Ranger Oil Ltd., 20,000 shares of St. Laurent Paperboard,
Inc. and 55,600 shares of Trans Texas Gas Corp. are considered by the Adviser to
be part of Equity Securities.
TBA Represents "TBA" (to be announced) purchase commitment to purchase
securities for a fixed unit price at a future date beyond customary settlement
time. Although the unit price has been established, the principal value has not
been finalized.
12
<PAGE>
Forward currency exchange contracts outstanding at September 30, 1995 are as
follows:
<TABLE>
<CAPTION>
UNREALIZED
TOTAL CONTRACT APPRECIATION DELIVERY
VALUE PRICE (DEPRECIATION) DATE
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell Australian dollars, buy U.S.
dollars 4,242,306AUD .73840AUD $ (67,138) 11/16/95
Sell Australian dollars, buy U.S.
dollars 1,087,701AUD .73790AUD (17,757) 11/16/95
Sell Canadian dollars, buy U.S. dollars 535,926CAD .73551CAD (4,288) 11/16/95
Sell Canadian dollars, buy U.S. dollars 1,789,588CAD .73333CAD (18,227) 11/16/95
Sell Danish krone, buy U.S. dollars 3,460,000DKK .18605DKK 19,458 10/24/95
Sell Danish krone, buy U.S. dollars 27,121,050DKK .17973DKK (19,085) 11/16/95
Sell Danish krone, buy U.S. dollars 6,994,150DKK .17319DKK (50,640) 11/16/95
Sell Deutsche marks, buy U.S. dollars 1,880,000DEM .72490DEM 46,794 10/05/95
Sell Deutsche marks, buy U.S. dollars 4,050,000DEM .67476DEM (108,241) 11/16/95
Sell U.S. dollars, buy Deutsche marks 974,600DEM .67916DEM 21,760 11/16/95
Sell French francs, buy U.S. dollars 20,137,000FRF .20551FRF 49,410 10/05/95
Sell French francs, buy U.S. dollars 7,550,400FRF .20804FRF 37,932 10/24/95
Sell French francs, buy U.S. dollars 9,354,500FRF .20616FRF 29,415 10/24/95
Sell Japanese yen, buy U.S. dollars 237,080,000JPY .01193JPY 432,232 10/05/95
Sell Japanese yen, buy U.S. dollars 237,080,000JPY .01166JPY 368,908 10/05/95
Sell Italian lira, buy U.S. dollars 574,193,570ITL .00062ITL 290 11/16/95
Sell Italian lira, buy U.S. dollars 511,000,000ITL .00061ITL (1,654) 11/16/95
Sell Italian lira, buy U.S. dollars 864,900,000ITL .00061ITL (6,096) 11/16/95
Sell Pound sterling, buy U.S. dollars 1,381,900GBP 1.53300GBP (62,604) 11/16/95
Sell Spanish peseta, buy U.S. dollars 100,000ESP .00810ESP 4,842 11/16/95
Sell Spanish peseta, buy U.S. dollars 127,300ESP .00785ESP (25,782) 11/16/95
Sell Spanish peseta, buy U.S. dollars 35,800ESP .00789ESP (5,766) 11/16/95
---------
$ 623,763
=========
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
Statement of Assets and Liabilities
- -------------------------------------------------------------------------------
September 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
ASSETS
Investments, at value (Cost $370,433,020) (Note 1) $414,723,461
Cash 91,481
Receivable for securities sold 4,818,508
Interest and dividends receivable 2,457,939
Receivable for open forward contracts 1,011,041
Receivable for fund shares sold 308,768
Receivable from Distributor (Note 3) 94,031
Other assets 60,790
-----------
423,566,019
LIABILITIES
Payable for securities purchased 8,765,983
Payable for open forward contracts 387,278
Accrued transfer agent and shareholder services
(Note 2) 278,240
Accrued management fee (Note 2) 256,168
Accrued distribution fee (Note 5) 192,502
Payable for fund shares redeemed 168,813
Dividends payable 83,794
Accrued trustees' fees (Note 2) 5,860
Other accrued expenses 158,316
-----------
10,296,954
-----------
NET ASSETS $413,269,065
===========
Net Assets consist of:
Undistributed net investment income $ 1,805,828
Unrealized appreciation of investments 44,290,441
Unrealized appreciation of forward contracts
and foreign currency 622,636
Accumulated net realized gain 1,490,516
Shares of beneficial interest 365,059,644
-----------
$413,269,065
===========
Net Asset Value and redemption price per share of
Class A shares ($195,652,373 (division sign)
19,751,317 shares
of beneficial interest) $9.91
===========
Maximum Offering Price per share of Class A shares
($9.91 (division sign) .955) $10.38
===========
Net Asset Value and offering price per share of
Class B shares ($172,687,550 (division sign)
17,481,988 shares
of beneficial interest)* $9.88
===========
Net Asset Value, offering price and redemption price
per share of Class C shares
($31,487,041 (division sign)
3,177,350 shares of beneficial interest) $9.91
===========
Net Asset Value and offering price per share of
Class D shares ($13,442,101 (divisiosn sign)
1,359,435 shares of
beneficial interest)* $9.89
===========
</TABLE>
- -------------------------------------------------------------------------------
* Redemption price per share for Class B and Class D is equal to net asset
value less any applicable contingent deferred sales charge.
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Interest, net of foreign taxes of $12,296 $ 5,642,744
Dividends, net of foreign taxes of $67,358 1,805,895
---------
7,448,639
EXPENSES
Management fee (Note 2) 1,487,361
Transfer agent and shareholder services (Note 2) 566,032
Custodian fee 182,583
Distribution fee--Class A (Note 5) 238,089
Distribution fee--Class B (Note 5) 820,279
Distribution fee--Class D (Note 5) 65,801
Reports to shareholders 47,739
Audit fee 29,917
Trustees' fees (Note 2) 12,762
Registration fees 12,586
Miscellaneous 21,508
---------
3,484,657
Expenses borne by the Distributor (Note 3) (377,339)
---------
3,107,318
---------
Net investment income 4,341,321
---------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, FOREIGN CURRENCY
AND FORWARD CONTRACTS
Net realized gain on investments (Notes 1 and 4) 14,467,783
Net realized loss on forward contracts and foreign
currency (Note 1) (221,880)
---------
Total net realized gain 14,245,903
---------
Net unrealized appreciation of investments 31,856,694
Net unrealized appreciation of forward contracts
and foreign currency 1,047,590
---------
Total net unrealized appreciation 32,904,284
---------
Net gain on investments, foreign currency and
forward contracts 47,150,187
---------
Net increase in net assets resulting from
operations $51,491,508
=========
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
SEPTEMBER 30, YEAR ENDED
1995 MARCH 31,
(UNAUDITED) 1995
- -------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
<S> <C> <C>
Operations:
Net investment income $ 4,341,321 $ 9,683,302
Net realized gain (loss) on
investments, foreign
currency and forward
contracts* 14,245,903 (14,798,019)
Net unrealized appreciation
of investments, foreign
currency and forward
contracts 32,904,284 10,188,263
------------ -----------
Net increase resulting from
operations 51,491,508 5,073,546
------------ -----------
Dividends from net investment income:
Class A (1,987,845) (3,550,468)
Class B (1,128,933) (1,701,801)
Class C (348,565) (551,533)
Class D (88,268) (145,276)
------------ -----------
(3,553,611) (5,949,078)
------------ -----------
Distribution from net realized gains:
Class A -- (2,686,125)
Class B -- (1,571,333)
Class C -- (352,065)
Class D -- (134,219)
------------ -----------
-- (4,743,742)
------------ -----------
Net increase (decrease) from
fund share transactions
(Note 6) (6,852,005) 99,996,131
------------ -----------
Total increase in net assets 41,085,892 94,376,857
NET ASSETS
Beginning of period 372,183,173 277,806,316
------------ -----------
End of period (including
undistributed net
investment income of
$1,805,828 and $1,018,118,
respectively) $413,269,065 $372,183,173
============ ===========
* Net realized gain (loss)
for Federal income tax
purposes
(Note 1) $ 5,349,508 $ (2,823,098)
============ ===========
</TABLE>
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- -------------------------------------------------------------------------------
September 30, 1995
Note 1
State Street Research Managed Assets, formerly MetLife-State Street Research
Managed Assets (the "Fund") is a series of State Street Research Income Trust,
formerly MetLife-State Street Income Trust (the "Trust"), which was organized as
a Massachusetts business trust in December, 1985 and is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company. The Fund commenced operations in December, 1988. The Trust consists
presently of two separate funds: State Street Research Managed Assets and State
Street Research High Income Fund.
The Fund offers four classes of shares. Class A shares are subject to an initial
sales charge of up to 4.50% and an annual service fee of 0.25% of average daily
net assets. Class B shares are subject to a contingent deferred sales charge on
certain redemptions made within five years of purchase and pay annual
distribution and service fees of 1.00%. Class B shares automatically convert
into Class A shares (which pay lower ongoing expenses) at the end of eight years
after the issuance of the Class B shares. Class C shares are only offered to
certain employee benefit plans and large institutions. No sales charge is
imposed at the time of purchase or redemption of Class C shares. Class C shares
do not pay any distribution or service fees. Class D shares are subject to a
contingent deferred sales charge of 1.00% on any shares redeemed within one year
of their purchase. Class D shares also pay annual distribution and service fees
of 1.00%. The Fund's expenses are borne pro-rata by each class, except that each
class bears expenses, and has exclusive voting rights with respect to provisions
of the Plan of Distribution, related specifically to that class. The Trustees
declare separate dividends on each class of shares.
The following significant accounting policies are consistently followed by the
Fund in preparing its financial statements, and such policies are in conformity
with generally accepted accounting principles for investment companies.
A. INVESTMENT VALUATION
Values for listed equity securities reflect final sales on national securities
exchanges quoted prior to the close of the New York Stock Exchange.
Over-the-counter securities quoted on the National Association of Securities
Dealers Automated Quotation ("NASDAQ") system are valued at closing prices
supplied through such system. If not quoted on the NASDAQ system, such
securities are valued at prices obtained from independent brokers. In the
absence of recorded sales, valuations are at the mean of the closing bid and
asked quotations. Fixed income securities are valued by a pricing service, which
utilizes market transactions, quotations from dealers, and various relationships
among securities in determining value. Short-term securities maturing within
sixty days are valued at amortized cost. Other securities, if any, are valued at
their fair value as determined in good faith under consistently applied
procedures established by and under the supervision of the Trustees.
The accompanying notes are integral part of the financial statements.
15
<PAGE>
- -------------------------------------------------------------------------------
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
NOTES (cont'd)
- -------------------------------------------------------------------------------
B. FORWARD CONTRACTS AND FOREIGN CURRENCIES
The fund enters into forward foreign currency exchange contracts
in order to hedge its exposure to changes in foreign currency exchange rates on
its foreign portfolio holdings and to hedge certain purchase and sale
commitments denominated in foreign currencies. A forward foreign currency
exchange contract is an obligation by the Fund to purchase or sell a specific
currency at a future date, which may be any fixed number of days from the
origination date of the contract. Forward foreign currency exchange contracts
establish an exchange rate at a future date. These contracts are transferable in
the interbank market conducted directly between currency traders (usually large
commercial banks) and their customers. Risks may arise from the potential
inability of a counterparty to meet the terms of a contract and from
unanticipated movements in the value of foreign currencies relative to the U.S.
dollar. The aggregate principal amount of forward currency exchange contracts is
recorded in the Fund's accounts. All commitments are marked-to-market at the
applicable transaction rates resulting in unrealized gains or losses. The Fund
records realized gains or losses at the time the forward contracts are
extinguished by entry into a closing contract or by delivery of the currency.
Neither spot transactions nor forward currency exchange contracts eliminate
fluctuations in the prices of the Fund's portfolio securities or in foreign
exchange rates, or prevent loss if the price of these securities should decline.
Securities quoted in foreign currencies are translated into U.S. dollars at
the current exchange rate. Gains and losses that arise from changes in
exchange rates are not segregated from gains and losses that arise from
changes in market prices of investments.
C. SECURITY TRANSACTIONS
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis
of identified cost of securities delivered.
D. NET INVESTMENT INCOME
Net investment income is determined daily and consists of interest and dividends
accrued and discount earned, less the estimated daily expenses of the Fund.
Interest income is accrued daily as earned. Dividend income is accrued on the
ex-dividend date. Discount on debt obligations is amortized under the effective
yield method. Certain fixed income securities held by the Fund pay interest or
dividends in the form of additional securities (payment-in-kind securities).
Interest income on payment-in-kind fixed income securities is recorded using the
effective-interest method. Dividend income on payment-in-kind preferred
securities is recorded at the market value of securities received. The Fund is
charged for expenses directly attributable to it, while indirect expenses are
allocated among all funds in the Trust.
E. DIVIDENDS
Dividends from net investment income are declared and paid or reinvested
quarterly. Net realized capital gains, if any, are distributed annually, unless
additional distributions are required for compliance with applicable tax
regulations.
Income dividends and capital gain distributions are determined in accordance
with Federal income tax regulations which may differ from generally accepted
accounting principles. The difference is primarily due to differing
treatments for foreign currency transactions, paydown gains and losses and
wash sale deferrals.
F. FEDERAL INCOME TAXES
No provision for Federal income taxes is necessary because the Fund has elected
to qualify under Subchapter M of the Internal Revenue Code and its policy is to
distribute all of its taxable income, including net realized capital gains,
within the prescribed time periods. At March 31, 1995, the Fund had a capital
loss carryforward of $2,823,098 available, to the extent provided in
regulations, to offset future capital gains, if any, which expires on March 31,
2003.
In order to meet certain excise tax distribution requirements under Section 4982
of the Internal Revenue Code, the Fund is required to measure and distribute
annually, if necessary, net capital gains realized during a twelve-month period
ending October 31. In this connection, the Fund is permitted to defer into its
next fiscal year any net capital losses incurred between each November 1 and the
end of its fiscal year. From November 1, 1994 through March 31, 1995, the Fund
incurred net capital losses of approximately $9,217,000 and intends to defer and
treat such losses as arising in the fiscal year ending March 31, 1996.
NOTE 2
The Trust and State Street Research & Management Company (the "Adviser"), an
indirect wholly owned subsidiary of Metropolitan Life Insurance Company
("Metropolitan"), have entered into an agreement under which the Adviser earns
monthly fees at an annual rate of 0.75% of the Fund's average daily net assets.
In consideration of these fees, the Adviser furnishes the Fund with management,
investment advisory, statistical and research facilities and services. The
Adviser also pays all salaries, rent and certain other expenses of management.
During the six months ended September 30, 1995, the fees pursuant to such
agreement amounted to $1,487,361.
State Street Research Shareholder Services, a division of State Street Research
Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), an indirect wholly owned subsidiary of Metropolitan, provides
certain shareholder services to the Fund such as responding to inquiries and
instructions from investors with respect to the purchase and redemption of
shares of the Fund. In addition, Metropolitan receives a fee for maintenance of
the accounts of certain shareholders who are participants in sponsored
arrangements, such as employee benefit plans, through or under which shares of
the Fund may be purchased. During the six months ended September 30, 1995, the
amount of such expenses was $169,958.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$12,762 during the six months ended September 30, 1995.
NOTE 3
The Distributor and its affiliates may from time to time and in varying amounts
voluntarily assume some portion of fees or expenses relating to the Fund. During
the six months ended September 30, 1995, the amount of such expenses assumed by
the Distributor and its affiliates was $377,339.
16
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
NOTE 4
For the six months ended September 30, 1995, purchases and sales of securities,
exclusive of short-term obligations and forward foreign currency exchange
contracts, aggregated $199,650,105 and $214,273,107 (including $48,411,341 and
$58,423,561 of U.S. Government obligations), respectively.
NOTE 5
The Trust has adopted a Plan of Distribution Pursuant to Rule 12b-1 (the "Plan")
under the Investment Company Act of 1940. Under the Plan, the Fund pays annual
service fees to the Distributor at a rate of 0.25% of average daily net assets
for Class A, Class B and Class D shares. In addition, the Fund pays annual
distribution fees of 0.75% of average daily net assets for Class B and Class D
shares. The Distributor uses such payments for personal services and/or the
maintenance of shareholder accounts, to reimburse securities dealers for
distribution and marketing services, to furnish ongoing assistance to investors
and to defray a portion of its distribution and marketing expenses. For the six
months ended September 30, 1995, fees pursuant to such plan amounted to
$238,089, $820,279 and $65,801 for Class A, Class B and Class D shares,
respectively.
The Fund has been informed that the Distributor and MetLife Securities, Inc., a
wholly owned subsidiary of Metropolitan, earned initial sales charges
aggregating $45,009 and $281,853, respectively, on sales of Class A shares of
the Fund during the six months ended September 30, 1995, and that MetLife
Securities, Inc. earned commissions aggregating $442,721 and $2,074 on sales of
Class B and Class D shares, respectively, and the Distributor collected
contingent deferred sales charges aggregating $121, $282,751 and $1,499 on
redemptions of Class A, Class B and Class D shares, respectively, during the
same period.
NOTE 6
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest, $.001 par value per share.
At September 30, 1995, Metropolitan owned 23,306 Class A shares and 59,315 Class
D shares of the Fund and the Distributor owned one Class A share of the Fund.
Share transactions were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
SEPTEMBER 30, 1995 YEAR ENDED
(UNAUDITED) MARCH 31, 1995
------------------------- ---------------------------
CLASS A SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 1,352,609 $ 12,795,809 6,602,965 $ 57,372,536
Issued upon reinvestment of:
Dividends from net investment income 197,053 1,897,840 392,651 3,377,080
Distribution from net realized gains -- -- 297,451 2,584,847
Shares repurchased (2,496,200) (23,493,056) (5,156,516) (44,295,455)
-------- --------- -------- -----------
Net increase (decrease) (946,538) $ (8,799,407) 2,136,551 $ 19,039,008
======== ========= ======== ===========
</TABLE>
<TABLE>
<CAPTION>
CLASS B SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 1,618,382 $ 15,311,626 10,279,851 $ 88,909,733
Issued upon reinvestment of:
Dividends from net investment income 114,205 1,096,446 189,138 1,630,253
Distribution from net realized gains -- -- 176,093 1,524,943
Shares repurchased (1,673,923) (15,759,738) (2,549,340) (21,785,748)
-------- --------- -------- -----------
Net increase 58,664 $ 648,334 8,095,742 $ 70,279,181
======== ========= ======== ===========
</TABLE>
<TABLE>
<CAPTION>
CLASS C SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 589,230 5,577,434 1,583,387 $ 13,778,442
Issued upon reinvestment of:
Dividends from net investment income 36,163 348,477 63,889 549,690
Distribution from net realized gains -- -- 40,418 351,228
Shares repurchased (391,813) (3,695,423) (1,139,442) (9,788,334)
-------- --------- -------- -----------
Net increase 233,580 2,230,488 548,252 $ 4,891,026
======== ========= ======== ===========
</TABLE>
<TABLE>
<CAPTION>
CLASS D SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 138,017 $ 1,332,265 844,434 $ 7,326,800
Dividends from net investment income 8,162 78,334 14,873 128,335
Distribution from net realized gains -- -- 14,278 123,793
Shares repurchased (247,028) (2,342,019) (209,961) (1,792,012)
-------- --------- -------- -----------
Net increase (decrease) (100,849) $ (931,420) 663,624 $ 5,786,916
======== ========= ======== ===========
</TABLE>
17
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
Class A
-----------------------------------------------------------------------
Six months
ended
September 30, Year ended March 31
1995 ---------------------------------------------------
(Unaudited)*** 1995 1994 1993 1992 1991
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 8.76 $ 8.94 $ 8.94 $ 8.22 $ 7.61 $7.81
Net investment income* .12 .27 .22 .27 .37 .44
Net realized and unrealized gain (loss) on
investments and forward contracts 1.13 (.14) .72 1.01 .62 (.14)
Dividends from net investment income (.10) (.17) (.22) (.25) (.38) (.41)
Distributions from net realized gains -- (.14) (.72) (.31) -- (.09)
---- ---- ---- ----
Net asset value, end of period $ 9.91 $ 8.76 $ 8.94 $ 8.94 $ 8.22 $ 7.61
====== ====== ====== ======= ====== ======
Total return 14.31%+++ 1.52%+ 10.96%+ 16.54%+ 13.29%+ 4.06%+
Net assets at end of period (000s) $195,652 $181,358 $166,011 $93,537 $78,483 $64,139
Ratio of operating expenses to average net assets* 1.25%++ 1.25% 1.25% 1.25% 1.25% 1.25%
Ratio of net investment income to average net assets* 2.51%++ 3.11% 2.75% 3.26% 4.60% 5.78%
Portfolio turnover rate 52.87% 89.58% 105.17% 142.86% 97.76% 68.08%
*Reflects voluntary assumption of fees
or expenses per share in each period (Note 3) $ .01 $ .03 $ .02 $ .02 $ .02 $ .02
</TABLE>
<TABLE>
<CAPTION>
CLASS B CLASS C CLASS D
-------------------------------- ------------------------------------ -------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
1995 YEAR ENDED 1995 YEAR ENDED 1995 YEAR ENDED
(UNAUDITED) MARCH 31, 1995 1994 (UNAUDITED)*** MARCH 31, 1995 1994** (UNAUDITED) MARCH 31, 1995* 1994**
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $8.74 $8.92 $8.78 $8.77 $8.95 $8.78 $8.75 $8.93 $8.78
Net investment income* .08 .20 .16 .13 .29 .21 .08 .20 .16
Net realized and
unrealized gain (loss)
on investments and
forward contracts 1.13 (.13) .39 1.12 (.14) .43 1.12 (.13) .40
Dividends from net
investment income (.07) (.11) (.18) (.11) (.19) (.24) (.06) (.11) (.18)
Distributions from net
realized gains -- (.14) (.23) -- (.14) (.23) -- (.14) (.23)
----- ----- ----- ----- ----- ----- ----- ----- -----
Net asset value, end of
period $9.88 $8.74 $8.92 $9.91 $8.77 $8.95 $9.89 $8.75 $8.93
===== ===== ===== ===== ===== ===== ===== ===== =====
Total return 13.81%+++ 0.82%+ 6.26%+++ 14.32%+++ 1.77%+ 7.27%+++ 13.78%+++ 0.82%+ 6.31%+++
Net assets at end of
period (000s) $172,688 $152,251 $83,244 $31,487 $25,803 $21,434 $13,442 $12,772 $7,117
Ratio of operating
expenses to average net
assets* 2.00%++ 2.00% 2.00%++ 1.00%++ 1.00% 1.00%++ 2.00%++ 2.00% 2.00%++
Ratio of net investment
income to average net
assets* 1.75%++ 2.38% 2.03%++ 2.74%++ 3.37% 3.03%++ 1.77%++ 2.39% 2.03%++
Portfolio turnover rate 52.87% 89.58% 105.17% 52.87% 89.58% 105.17% 52.87% 9.58% 105.17%
*Reflects voluntary
assumption of fees or
expenses per share in
each period (Note 3) $ .01 $ .03 $ .03 $ .01 $ .03 $ .02 $ .01 $ .03 $ .03
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
++Annualized.
**June 1, 1993 (commencement of share class designations) to March 31, 1994.
***Per-share figures have been calculated using the average shares method.
+Total return figures do not reflect any front-end or contingent deferred sales
charges. Total return would be lower if the Distributor and its affiliates had
not voluntarily assumed a portion of the Fund's expenses.
+++Represents aggregate return for the period without annualization and does not
reflect any front-end or contingent deferred sales charges. Total return would
be lower if the Distributor and its affiliates had not voluntarily assumed a
portion of the Fund's expenses.
18
<PAGE>
STATE STREET RESEARCH MANAGED ASSETS
- -------------------------------------------------------------------------------
FUND INFORMATION, OFFICERS AND TRUSTEES OF STATE STREET RESEARCH INCOME TRUST
FUND INFORMATION
Investment Adviser
State Street Research &
Management Company
One Financial Center
Boston, MA 02111
DISTRIBUTOR
State Street Research
Investment Services, Inc.
One Financial Center
Boston, MA 02111
SHAREHOLDER SERVICES
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408
1-800-562-0032
CUSTODIAN
State Street Bank and
Trust Company
225 Franklin Street
Boston, MA 02110
LEGAL COUNSEL
Goodwin, Procter & Hoar
Exchange Place
Boston, MA 02109
OFFICERS
RALPH F. VERNI
Chairman of the Board,
President and
Chief Executive Officer
BARLETT R. GEER
Vice President
JOHN H. KALLIS
Vice President
MICHAEL R. YOGG
Vice President
GERARD P. MAUS
Treasurer
JOSEPH W. CANAVAN
Assistant Treasurer
DOUGLAS A. ROMICH
Assistant Treasurer
FRANCIS J. MCNAMARA, III
Secretary and General Counsel
DARMAN A. WING
Assistant Secretary and
Assistant General Counsel
AMY L. SIMMONS
Assistant Secretary
TRUSTEES
RALPH F. VERNI
Chairman of the Board,
President, Chief Executive
Officer and Director,
State Street Research &
Management Company
EDWARD M. LAMONT
Formerly in banking (Morgan Guaranty Trust Company of New York); presently
engaged in private investments and civic affairs
ROBERT A. LAWRENCE
Partner, Saltonstall & Co.
DEAN O. MORTON
Retired; formerly Executive
Vice President, Chief
Operating Officer and Director,
Hewlett-Packard Company
THOMAS L. PHILLIPS
Retired; formerly Chairman of the Board and Chief Executive
Officer, Raytheon Company
TOBY ROSENBLATT
President,
The Glen Ellen Company
Vice President,
Founders Investments Ltd.
MICHAEL S. SCOTT MORTON
Jay W. Forrester Professor of
Management, Sloan School of
Management, Massachusetts Institute of Technology
JEPTHA H. WADE
Retired; formerly Of Counsel, Choate, Hall & Stewart
19
<PAGE>
[Back cover]
State Street Research Managed Assets
One Financial Center
Boston, MA 02111
Bulk Rate
U.S. Postage
PAID
Brockton, MA
Permit No. 600
Questions? Comments?
Call us at 1-800-562-0032, or write us at:
State Street Research
Shareholder Services
P.O. Box 8408
Boston, MA 02266-8408
[State Street Research logo]
This report is prepared for the general information of current shareholders
only. It is not authorized for use as sales material with prospective investors.
CONTROL NUMBER: 2790-951121(1296)SSR-LD Cover Illustration by Dorothy
Cullinan HI-273D-1195
